论文标题
扭曲风险措施的多项式回测
Multinomial Backtesting of Distortion Risk Measures
论文作者
论文摘要
我们扩展了通过提出一种多项式回测方法来进行一般失真风险度量，以进行回测模型的风险措施范围。该方法依赖于风险水平的分层和随机化。我们说明了在数值案例研究中我们的方法的性能。
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.
