Backtesting expected shortfall and beyond

DOI10.1080/14697688.2020.1834120MaRDI QIDQ5014244zbMATH OpenOpenAlexFDO

Authors Kaihua Deng, Jie Qiu

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1834120

zbMATH Keywords

expected shortfallelicitabilityGARCH modelsrisk managementbacktesting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Recommendations

• Backtesting VaR and expectiles with realized scores
• Backtesting extreme value theory models of expected shortfall
• Elicitability and backtesting: perspectives for banking regulation
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
• A regression analysis of expected shortfall

Cites work

• scientific article; zbMATH DE number 3151183 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• Coherence and elicitability
• Coherent measures of risk
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistent Specification Testing Via Nonparametric Series Regression
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Elicitability and backtesting: perspectives for banking regulation
• Expected shortfall and beyond
• Higher order elicitability and Osband's principle
• Making and evaluating point forecasts
• Moments of Markov switching models
• Tests of Conditional Predictive Ability

Cited in

(12)

• Elicitability and backtesting: perspectives for banking regulation
• Backtesting extreme value theory models of expected shortfall
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
• scientific article; zbMATH DE number 1538077 (Why is no real title available?)
• Estimating and backtesting risk under heavy tails
• GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
• Backtesting VaR and expectiles with realized scores
• Linear hypothesis testing in high-dimensional expected shortfall regression with heavy-tailed errors
• Discussion of ``Elicitability and backtesting: perspectives for banking regulation
• Discussion of ``Elicitability and backtesting: perspectives for banking regulation
• Discussion of ``Elicitability and backtesting: perspectives for banking regulation
• Extending the limits of backtesting via the `vanishing p'-approach

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