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Burden of common infectious diseases in children with growth failure from 1990 to 2021: analysis of the Global Burden of Disease Study. [PDF]
Front PediatrLi Y, Xu J, Li Z, Ren M, Jiang S.
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Backtesting Expected Shortfall and Beyond
SSRN Electronic Journal, 2021We conduct a comprehensive study of the performance of leading backtesting procedures for expected shortfall.
Kaihua Deng, Jie Qiu
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SSRN Electronic Journal, 2011
This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which ...
Christophe Hurlin, Christophe Pérignon
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This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which ...
Christophe Hurlin, Christophe Pérignon
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Journal of Forecasting, 2015
This paper proposes the implementation of a VaR backtesting procedure able to overcome the subadditivity property failure of value‐at‐risk (VaR). More precisely, we propose the implementation of a multivariate portmanteau test statistic of Ljung–Box type applied to hits collected from several trading desks or divisions at once.
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This paper proposes the implementation of a VaR backtesting procedure able to overcome the subadditivity property failure of value‐at‐risk (VaR). More precisely, we propose the implementation of a multivariate portmanteau test statistic of Ljung–Box type applied to hits collected from several trading desks or divisions at once.
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Backtesting global Growth-at-Risk
Journal of Monetary Economics, 2019We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP, including the national financial conditions index.
Brownlees C., Souza A. B. M.
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2001
The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.
Jürgen Franke +2 more
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The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.
Jürgen Franke +2 more
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2015
One of the most important changes in the financial industry since the 2008 market events is the change in stance by governments, from a “loose” regulatory environment to a much more hands-on approach In particular, national regulators have substantially increased their scrutiny over the models used by banks to calculate risk and capital Also, the ...
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One of the most important changes in the financial industry since the 2008 market events is the change in stance by governments, from a “loose” regulatory environment to a much more hands-on approach In particular, national regulators have substantially increased their scrutiny over the models used by banks to calculate risk and capital Also, the ...
openaire +2 more sources
2015
Backtesting is one of those activities in quantitative finance and trading that takes up a significant amount of time. It refers to the systematic methodology of testing out a particular hypothesis about market dynamics on a subset of historical data.
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Backtesting is one of those activities in quantitative finance and trading that takes up a significant amount of time. It refers to the systematic methodology of testing out a particular hypothesis about market dynamics on a subset of historical data.
openaire +2 more sources