Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall

By Kratz Marie, Lok Yen H., and McNeil Alexander J.
Journal of Banking and Finance (2018)

  • Alexander J. McNeil

    University of York

    UK

  • Marie Kratz

    ESSEC

    France

  • Yen H. Lok

    Heriot Watt University

    UK

Created

February 8, 2018

Last update

February 8, 2018

Software

R

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195

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102

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26

Description

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