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
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• 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)

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

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