Concepedia

Backtesting Of Risk Limits

Backtesting of Risk Limits is a methodological procedure in risk management research that evaluates the accuracy and reliability of risk limit frameworks by comparing ex ante risk limit breaches against realized outcomes to assess model validity.

1

Publications

42

Citations

4

Authors

5

Institutions

Publications per year

2017–2026

1

Parents

Publications

1

1–1 of 1

Authors

4

  1. CK
    C Kurz

    Federal Reserve Board of Governors, United States

    1 publications · 42 citations

    1

    h-index

  2. CT
    Christian T. Brownlees

    Universitat Pompeu Fabra, Spain

    1 publications · 42 citations

    1

    h-index

  3. BC
    Ben Chabot

    Federal Reserve Bank of Chicago, United States

    1 publications · 42 citations

    1

    h-index

  4. ÉG
    Éric Ghysels

    University of North Carolina at Chapel Hill, United States

    1 publications · 42 citations

    1

    h-index

1–4 of 4

Institutions

5

  1. Federal Reserve Board of Governors

    Washington D.C., United States

    1 h-index

    1 publications

    42 citations

  2. Barcelona School of Economics

    Barcelona, Spain

    1 h-index

    1 publications

    42 citations

  3. Federal Reserve

    Washington D.C., United States

    1 h-index

    1 publications

    42 citations

  4. Universitat Pompeu Fabra

    Barcelona, Spain

    1 h-index

    1 publications

    42 citations

  5. Federal Reserve Bank of Chicago

    Chicago, United States

    1 h-index

    1 publications

    42 citations

1–5 of 5

Venues

  1. Journal of Banking & Finance

    1 publications · 42 citations

    1

    h-index

1–1