Alain-Philippe Fortin

HEC Montreal

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H2X 2L3

Canada

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Scholarly Papers (1)

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Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?

Number of pages: 42 Posted: 18 Jul 2018 Last Revised: 06 Dec 2019
Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne
HEC Montreal, HEC Montréal and HEC Montreal - Department of Finance
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Abstract:

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Value-at-Risk, Expected Shortfall, Conditional Value-at-Risk, Elicitability, modelcomparison, backtesting, Fama-French and momentum factors