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...
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2026-05-01
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| Col·lecció: | Risks |
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| Accés en línia: | https://www.mdpi.com/2227-9091/14/5/110 |
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