preprintSSRN Electronic JournalJan 1, 2026GREEN OA

Backtesting Expected Shortfall via Multi-Quantile Regression

OCOphélie CouperierJLJérémy Leymarie

Centre de Recherche en Économie et Statistique · Université d'Orléans · +3 more institutions

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Abstract

No abstract available for this paper.

Citation impact

14
total citations
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References
6
Citations per year

Authors

2

Topics & keywords

Topics
Keywords
  • Quantile
  • Expected shortfall
  • Value at risk
  • Econometrics
  • Quantile regression
  • Basel II
  • Monte Carlo method
  • Economics
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