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What is Evaluating Density Forecasts in Risk Management about?

This document summarizes a paper that proposes a new approach to evaluating density forecasts of financial risk models. Existing methods for evaluating interval and density forecasts have low power with typical available sample sizes. The proposed approach evaluates the entire forecast density by comparing forecasts at every percentile to realized outcomes. This provides more information than only examining violations, better utilizing the available time-series and cross-sectional data. The approach builds

Author

Lisa Majmin

Language

EN