Loeser, Robert, Wied, Dominik and Ziggel, Daniel (2019). New backtests for unconditional coverage of expected shortfall. J. Risk, 21 (4). S. 39 - 60. LONDON: INCISIVE MEDIA. ISSN 1755-2842
Full text not available from this repository.Abstract
While value-at-risk has been the standard risk measure for a long time, expected shortfall (ES) has become more and more popular in recent times, as it provides important information about tail risk. We present a new backtest for the unconditional coverage property of the ES. The test is based on the so-called cumulative violation process, and its main advantage is that the distribution is known for finite out-of-sample size. This leads to better size and power properties compared with existing tests. Moreover, we extend the test principle to a multivariate test and analyze its behavior via simulations and an application to bank returns.
Item Type: | Journal Article | ||||||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-151686 | ||||||||||||||||
DOI: | 10.21314/JOR.2019.406 | ||||||||||||||||
Journal or Publication Title: | J. Risk | ||||||||||||||||
Volume: | 21 | ||||||||||||||||
Number: | 4 | ||||||||||||||||
Page Range: | S. 39 - 60 | ||||||||||||||||
Date: | 2019 | ||||||||||||||||
Publisher: | INCISIVE MEDIA | ||||||||||||||||
Place of Publication: | LONDON | ||||||||||||||||
ISSN: | 1755-2842 | ||||||||||||||||
Language: | English | ||||||||||||||||
Faculty: | Unspecified | ||||||||||||||||
Divisions: | Unspecified | ||||||||||||||||
Subjects: | no entry | ||||||||||||||||
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Refereed: | Yes | ||||||||||||||||
URI: | http://kups.ub.uni-koeln.de/id/eprint/15168 |
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