New backtests for unconditional coverage of the expected shortfall

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DC Field	Value	Language
dc.contributor.author	Löser, Robert	-
dc.contributor.author	Wied, Dominik	-
dc.contributor.author	Ziggel, Daniel	-
dc.date.accessioned	2016-10-14T10:24:48Z	-
dc.date.available	2016-10-14T10:24:48Z	-
dc.date.issued	2016	-
dc.identifier.uri	http://hdl.handle.net/2003/35286	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-17329	-
dc.description.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.	en
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB823;52, 2016	en
dc.subject	model risk	en
dc.subject	expected shortfall	en
dc.subject	multivariate backtesting	en
dc.subject.ddc	310	-
dc.subject.ddc	330	-
dc.subject.ddc	620	-
dc.title	New backtests for unconditional coverage of the expected shortfall	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dc.subject.rswk	Risikomaß	de
dc.subject.rswk	Statistischer Test	de
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 823

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