Essays about: "Backtesting under Basel III"
Found 1 essay containing the words Backtesting under Basel III.
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1. Non-parametricbacktesting of expected shortfall
University essay from KTH/Matematisk statistikAbstract : Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. READ MORE
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