Distribution Tests

Martin Auer
Additional contact information
Martin Auer: Raiffeisen Bank International

Chapter 16 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 77-82 from Springer

Abstract: Abstract We can relate the VaR model’s prediction (tomorrow’s PnL distribution) with actual, later outcomes (the realized and experienced PnL) in a way that is more expressive than the backtesting with its focus on relatively rare VaR violations.

Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mgmchp:978-3-319-72320-4_16

Ordering information: This item can be ordered from
http://www.springer.com/9783319723204

DOI: 10.1007/978-3-319-72320-4_16

Access Statistics for this chapter

More chapters in Management for Professionals from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().