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Multinomial Backtesting of Distortion Risk Measures

S\"oren Bettels, Sojung Kim and Stefan Weber

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Abstract: We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies.

Date: 2022-01
New Economics Papers: this item is included in nep-rmg
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