Backtesting VaR and expectiles with realized scores

Bellini, F; Negri, I; Pyatkova, M

Negri, I (reprint author), Univ Bergamo, Dept Management Informat & Prod Engn, Viale Marconi 5, I-24044 Dalmine, BG, Italy.

STATISTICAL METHODS AND APPLICATIONS, 2019; 28 (1): 119

Abstract

Several statistical functionals such as quantiles and expectiles arise naturally as the minimizers of the expected value of a scoring function, a prop......

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