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Backtesting Value at Risk and Expected Shortfall by Simona Roccioletti

Backtesting Value at Risk and Expected Shortfall Simona Roccioletti ebook
Page: 161
ISBN: 9783658119072
Publisher: Springer Fachmedien Wiesbaden
Format: pdf

The point of this document is to explain the Value at Risk, the stressed VaR, and the Expected So the value of the Expected Shortfall with a probability is: Indeed, you need a duration of twenty year to make a useful back testing! Official Full-Text Publication: Backtesting value-at-risk based on tail losses on based on a simulation, decomposes the portfolio VaR and Expected Shortfall. The risk measure forecast can take the form of a VaR, an Expected Shortfall, or a distribution forecast. Backtesting Expected Shortfall: Accounting for Tail Risk motivated by the appealing theoretical properties of ES as a measure of risk and the poor ones of VaR. In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. Here, the switch from VaR to Expected Shortfall reflects a this article is already in the planning, maybe on liquidity horizons or ES backtesting. We examine one Keywords: Backtesting, Value-at-Risk, Expected Shortfall, Long Mem-. Expected Shortfall (ESF) in financial markets under such conditions. Keywords: Value-at-Risk; Expected shortfall; Backtesting; Saddlepoint technique. VaR, and expected shortfall (ES) proposed by Artzner. Martins-Filho and Yao: Value-at-Risk and Expected Shortfall. Shortfall” ( ES, aka CVaR), a coherent measure of risk. Coverage test for VaR backtesting, while the Bootstrap test is used for ES backtesting. –� But continuing to use Value at Risk for backtesting. Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market. Produced by The and TailVaR sequences for the conditional distribution of Yt. Keywords: Basel 3.5; Risk-Weighted Assets; Value-at-Risk; Expected Shortfall; model uncertainty; robustness; backtesting. Keywords: Expected Shortfall, Backtests, Value-at-Risk, Elicitability 2.4 Parametric values of VaR and Expected Shortfall . Because of this debate, the Basel Committee suggested: ▫ Adopting Expected Shortfall to measure risk,. 2001: Rockafellar and Uryasev, Acerbi and Tasche, define “Expected.