Essays about: "Backtesting under Basel III"

Found 1 essay containing the words Backtesting under Basel III.

  1. 1. Non-parametricbacktesting of expected shortfall

    University essay from KTH/Matematisk statistik

    Author : Patrik Edberg; Benjamin Käck; [2017]
    Keywords : Backtesting Expected Shortfall; Non-parametric; Backtesting under Basel III; Backtesting under Fundamental review of the trading book.;

    Abstract : 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