Backtesting VaR and expectiles with realized scores.

Fabio Bellini Ilia Negri Mariya Pyatkova

Published in: Stat. Methods Appl. (2019)

Keyphrases

risk measures
computer vision
scoring function
score distributions
real time
information systems
knowledge base
multiscale
multi agent
data structure
multi agent systems
artificial neural networks
multiresolution
markov chain
scoring functions