A Simple Traffic Light Approach to Backtesting Expected Shortfall
نویسندگان
چکیده
منابع مشابه
Multinomial var backtests: A simple implicit approach to backtesting expected shortfall
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall or the trading book model from which it is calculated can be based on a simultaneous multinomial test of value-at-risk (VaR) exce...
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The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (V aR). This change is motivated by the appealing theoretical properties of ES as a measure of risk and the poor ones of V aR. In particular, V aR fails to control for “tail risk”. In this t...
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ژورنال
عنوان ژورنال: Risks
سال: 2018
ISSN: 2227-9091
DOI: 10.3390/risks6010002