E-Backtesting Expected Shortfall: What Defines a “Good” Forecasting Method for Chinese Regulators?
Following the implementation of Basel IV, China’s financial regulators have replaced Value-at-Risk (VaR) with Expected Shortfall (ES) as the standard market risk measure, necessitating regulatory-oriented evaluation of ES forecasts. This study examines what constitutes a prudent ES forecasting metho...
Збережено в:
| Автор: | |
|---|---|
| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
MDPI AG
2026-05-01
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| Серія: | Risks |
| Предмети: | |
| Онлайн доступ: | https://www.mdpi.com/2227-9091/14/5/110 |
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