Universität zu Köln

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:	Creators Email ORCID ORCID Put Code Loeser, Robert UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED Ziggel, Daniel UNSPECIFIED UNSPECIFIED UNSPECIFIED
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
Uncontrolled Keywords:	Keywords Language VALUE-AT-RISK; POPULATION; FORECASTS; SAMPLES; SET Multiple languages Business, Finance Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/15168