2 papers
stat.ME2024
GARCH copulas, v-transforms and D-vines for stochastic volatility
Alexandra Dias, Jialing Han, Alexander J. McNeil
The bivariate copulas that describe the dependencies and partial dependencies of lagged variables in strictly stationary, first-order GARCH-type processes are investigated. It is s…
q-fin.RM2016
Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
Marie Kratz, Yen H. Lok, Alexander J McNeil
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sens…