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Multinomial Backtesting of Distortion Risk Measures

Author

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  • Soren Bettels
  • Sojung Kim
  • Stefan Weber

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.

Suggested Citation

  • Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Jan 2024.
    • Handle: RePEc:arx:papers:2201.06319
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