Backtesting Expected Shortfall via Multi-Quantile Regression

SSRN Electronic Journal 2026 Preprint Open access

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Authors: Ophélie Couperier, Jérémy Leymarie
DOI: 10.2139/ssrn.5862862
Cited by: 14
References: 6

Fields of Study & Subjects

Financial Risk and Volatility Modeling Market Dynamics and Volatility Credit Risk and Financial Regulations

Publication details

Journal / source
SSRN Electronic Journal
Publisher
Elsevier BV
Publication date
1 January 2026
Language
EN
Document type
Preprint