Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall

DOI10.1080/01621459.2020.1763804MaRDI QIDQ5881985zbMATH OpenOpenAlexFDO

Authors Qihui Su, Zhongling Qin, Gengsheng Qin, Liang Peng

Publication date 14 March 2023

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2020.1763804

zbMATH Keywords

empirical likelihoodbacktestARMA-GARCH modelconditional value-at-riskconditional expected shortfall

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Backtesting expected shortfall and beyond
• A simple and focused backtest of value at risk
• Backtesting extreme value theory models of expected shortfall
• Backtesting VaR and expectiles with realized scores
• Evaluating value-at-risk models via quantile regression

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Generalized autoregressive conditional heteroscedasticity
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Smoothed empirical likelihood confidence intervals for quantiles

Cited in

(8)

• Backtesting Parametric Value-at-Risk With Estimation Risk
• scientific article; zbMATH DE number 1538077 (Why is no real title available?)
• Estimating and backtesting risk under heavy tails
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Backtesting VaR and expectiles with realized scores
• Powerful Backtests for Historical Simulation Expected Shortfall Models
• Backtesting expected shortfall and beyond
• Backtesting portfolio value‐at‐risk with estimated portfolio weights

This page was built for publication: Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5881985)