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