Multinomial Backtesting of Distortion Risk Measures
Risk Management
2024-08-02 v4
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.
Keywords
Cite
@article{arxiv.2201.06319,
title = {Multinomial Backtesting of Distortion Risk Measures},
author = {Sören Bettels and Sojung Kim and Stefan Weber},
journal= {arXiv preprint arXiv:2201.06319},
year = {2024}
}