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

DOI10.1080/01621459.2020.1763804zbMATH Open1506.62419OpenAlexW3023195812MaRDI QIDQ5881985FDOQ5881985

Qihui Su, Gengsheng Qin, Liang Peng, Zhongling Qin

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

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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)

Cites Work

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

Cited In (6)

• Backtesting Parametric Value-at-Risk With Estimation Risk
• Title not available (Why is that?)
• Estimating and backtesting risk under heavy tails
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Powerful Backtests for Historical Simulation Expected Shortfall Models
• Backtesting portfolio value‐at‐risk with estimated portfolio weights

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