smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2024SMQ / 113552280951499
Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set
Alessandra Amendola / Antonio Naimoli / Giuseppe Storti / Vincenzo Candila
risk managementResource overview

Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set

Paper2024

by Alessandra Amendola, Antonio Naimoli, Giuseppe Storti, Vincenzo Candila

Tags
risk management

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Quantitative Risk Management

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Alessandra Amendola, Antonio Naimoli, Giuseppe Storti, Vincenzo Candila

3