Articles by Ioannis E. Tsolas
Evaluation of backtesting on risk models based on data envelopment analysis
In this study, different value-at-risk models, which are used to measure market risk, are analyzed under different estimation approaches and backtested with an alternative strategy.
Evaluation of backtesting techniques on risk models with different horizons
In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and Monte Carlo simulation) and backtested with different techniques.