Backtesting VaR Models: An Expected Shortfall Approach Timotheos Angelidis Department of Economics, University of Crete, Gallos Campus,74100 Rethymno,
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Backtesting VaR Models: An Expected Shortfall Approach Abstract Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a
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Third, we estimate and test VaR and ES forecasting models at a 10-day horizon, an analysis that has seldom been considered in the financial literature 4
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the context around the VaR and ES models, this white paper will review ES back-testing (VaR) to an Expected Shortfall risk measurement approach
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models While VaR is elicitable, this property is not exploited in a normal VaR backtest This means that Expected Shortfall cannot be backtested
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(2014)4 suggest a correction for VaR model risk based on passing VaR backtests Furthermore, they propose that their generalized methodology can be applied to
ICM-2017-10-Lazar-and-Zhang-mtime20171108095838_2020-10-14-084035.pdf