{"title":"A Simple Traffic Light Approach to Backtesting Expected Shortfall","authors":"Nick Costanzino, Michael Curran","doi":"10.2139/ssrn.2603976","DOIUrl":null,"url":null,"abstract":"We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent and analogous to the Traffic Light approach to backtesting VaR initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document. The approach relies on the generalized coverage test for Expected Shortfall developed in.","PeriodicalId":203996,"journal":{"name":"ERN: Value-at-Risk (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"22","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Value-at-Risk (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2603976","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 22
Abstract
We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent and analogous to the Traffic Light approach to backtesting VaR initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document. The approach relies on the generalized coverage test for Expected Shortfall developed in.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
