New backtests for unconditional coverage of the expected shortfall

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.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.identifier.uri	http://hdl.handle.net/2003/35286
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-17329
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.subject.rswk	Risikomaß	de
dc.subject.rswk	Statistischer Test	de
dc.title	New backtests for unconditional coverage of the expected shortfall	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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