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Expected Shortfall Backtesting

Last update: 3 September 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.3.0, 0.3.1

Description

Implementations of the expected shortfall backtests of Bayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013> as well as other well known backtests from the literature. Can be used to assess the correctness of forecasts of the expected shortfall risk measure which is e.g. used in the banking and finance industry for quantifying the market risk of investments. A special feature of the backtests of Bayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013> is that they only require forecasts of the expected shortfall, which is in striking contrast to all other existing backtests, making them particularly attractive for practitioners.

Cites work

Regression-Based Expected Shortfall Backtesting

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