On the choice of scoring functions for forecast comparisons
Forecasting of risk measures is an important part of risk management for financial institutions. Value-at-Risk and Expected Shortfall are two commonly used risk measures and accurately predicting these risk measures enables financial institutions to plan adequately for possible losses. Point foreca...
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| Language: | English |
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University of British Columbia
2017
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| Online Access: | http://hdl.handle.net/2429/61318 |