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

Kratz, Marie, Lok, Yen Hsiao and McNeil, Alexander John orcid.org/0000-0002-6137-2890 (2018) Multinomial VaR Backtests : A simple implicit approach to backtesting expected shortfall. Journal of Banking and Finance. JBF-D-16-01251R1. pp. 393-407. ISSN 1872-6372

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Copyright, Publisher and Additional Information: This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Backtesting,Banking regulation,Expected shortfall,Financial risk management,Statistical test,Value-at-Risk,Finance,Economics and Econometrics
Dates:
  • Accepted: 8 January 2018
  • Published (online): 13 January 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > The York Management School
Depositing User: Pure (York)
Date Deposited: 18 Jan 2018 17:30
Last Modified: 16 Dec 2021 00:49
Published Version: https://doi.org/10.1016/j.jbankfin.2018.01.002
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jbankfin.2018.01.002
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