SSRNTrading, Microstructure & Execution
LIGHT Benchmark - Comprehensive Backtesting Framework for Market Risk Models Comparison
Market Risk Backtesting: The article presents LIGHT Benchmark, a tool for comparing market risk models, including a scoring system for evaluating Value at Risk and Expected Shortfall models.
Featured in No. 18 on 4 Oct 2023 · · 1 citation today
- Released
- 20 Jul 2023
- First featured
- No. 18 · 4 Oct 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4586897
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).