Value-at-risk backtesting: Beyond the empirical failure rate.

Theo Berger Gunnar Moys

Published in: Expert Syst. Appl. (2021)

Keyphrases

failure rate
confidence intervals
random variables
occurrence probability
risk factors
risk management
risk assessment
decision making
production rate
machine learning
theoretical analysis
data sets
high risk
training data
information retrieval systems
long run