New backtests for unconditional coverage of the expected shortfall

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Date

2016

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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.

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Keywords

model risk, expected shortfall, multivariate backtesting

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