Authors: | Löser, Robert Wied, Dominik Ziggel, Daniel |
Title: | New backtests for unconditional coverage of the expected shortfall |
Language (ISO): | en |
Abstract: | We present a new backtest for the unconditional coverage property of the ES. The test statistic is available for finite out-of-sample size which leads to better size and power properties compared to existing tests. Moreover, it can be easily extended to a multivariate test. |
Subject Headings: | model risk expected shortfall multivariate backtesting |
Subject Headings (RSWK): | Risikomaß Statistischer Test |
URI: | http://hdl.handle.net/2003/35286 http://dx.doi.org/10.17877/DE290R-17329 |
Issue Date: | 2016 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_5216_NEUSFB823_Löser_Wied_Ziggel_.pdf | DNB | 343.55 kB | Adobe PDF | View/Open |
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