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
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

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