Multinomial Backtesting of Distortion Risk Measures
Abstract
We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies.
- Publication:
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arXiv e-prints
- Pub Date:
- January 2022
- DOI:
- 10.48550/arXiv.2201.06319
- arXiv:
- arXiv:2201.06319
- Bibcode:
- 2022arXiv220106319B
- Keywords:
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- Quantitative Finance - Risk Management