Regression-Based Expected Shortfall Backtesting
This article introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression model for the ES stand-alone is infeasible and thus, our tests are based on a joint regression model for the Value at Risk (VaR) and...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Oxford University Press
2022
|
| Subjects: | |
| Online Access: | View Fulltext in Publisher |