Multinomial Backtesting of Distortion Risk Measures

2022/01/17 by Bettels, Sören, Kim, Sojung, Weber, Stefan
#FOS: Economics and business #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.2201.06319

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.

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