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19-058/III - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error


  • Authors
    Sander Barendse, University of Oxford; Erik Kole, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
  • Publication date
    August 19, 2019
  • Keywords
    expected shortfall, backtesting, risk management, tail risk, Value-at-Risk
  • JEL
    C12, C53, C58, G17