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C.G. Rodriguez


Last seen: 6 months ago
2 total contributions since 2020

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Proportion of Failures Test
I was reading the following website: https://www.mathworks.com/help/risk/varbacktest.pof.html It states: The result of the te...

9 months ago | 0 answers | 0

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Question


How to do Weighted Historical Simulation?
Hi, I was trying to build a code for Weighted Historical Simulation by altering expected shortfall code from: https://www.math...

10 months ago | 1 answer | 0

1

answer