Results 161 to 170 of about 2,923 (211)

Backtesting expected shortfall and beyond

Quantitative Finance, 2021
We conduct a comprehensive study of the performance of leading backtesting procedures for expected shortfall.
Kaihua Deng, Jie Qiu
exaly   +2 more sources

Monitoring and backtesting churn models

Expert Systems With Applications, 2011
The evaluation of the relationship with the customer and related benefits has become a key point for a company's competitive advantage. The development of customer churn models has increased over the years. However, these models tend to be complex and used on demand, being developed every time the customer analysis is requested.
Christophe Mues, Bart Baesens
exaly   +3 more sources

Backtesting

open access: yes, 2022
Under regulatory guidelines, banks with substantial trading activity are required to set aside capital to insure against extreme portfolio loss. The size of the capital requirement is determined by the value-at-risk (VaR) of the portfolio.
W. Brent Lindquist   +3 more
openaire   +2 more sources

Backtesting

2019
Manfred Gilli   +2 more
exaly   +4 more sources

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