Back-testing of Expected Shortfall: Main challenges and methodologies

Global Research & Analytics

Back-testing of Expected Shortfall: Main challenges and methodologies

Following recent financial crises and their disastrous impacts on the industry, regulators are proposing tighter monitoring on banks so that they can survive in extreme market conditions.

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Article Global Research & Analytics - Back-testing of Expected Shortfall: Main challenges and methodologies - 14 March 2019

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In this article : Expected Shortfall Risk Management Back Testing Regulation GRA

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