Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
(2018) In Journal of Banking and Finance 88. p.393-407
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/fc6f158f-79f0-4f8b-8b3f-3f4975f7370d
- author
- Kratz, Marie LU ; Lok, Yen H. and McNeil, Alexander
- publishing date
- 2018
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Journal of Banking and Finance
- volume
- 88
- pages
- 15 pages
- publisher
- Elsevier
- external identifiers
-
- scopus:85044632732
- ISSN
- 1872-6372
- DOI
- 10.1016/j.jbankfin.2018.01.002
- language
- English
- LU publication?
- no
- id
- fc6f158f-79f0-4f8b-8b3f-3f4975f7370d
- date added to LUP
- 2019-12-26 16:04:49
- date last changed
- 2022-04-18 19:44:00
@article{fc6f158f-79f0-4f8b-8b3f-3f4975f7370d,
author = {{Kratz, Marie and Lok, Yen H. and McNeil, Alexander}},
issn = {{1872-6372}},
language = {{eng}},
pages = {{393--407}},
publisher = {{Elsevier}},
series = {{Journal of Banking and Finance}},
title = {{Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall}},
url = {{http://dx.doi.org/10.1016/j.jbankfin.2018.01.002}},
doi = {{10.1016/j.jbankfin.2018.01.002}},
volume = {{88}},
year = {{2018}},
}