Backtesting Extreme Value Theory Models of Expected Shortfall
نویسندگان
چکیده
منابع مشابه
Backtesting Expected Shortfall: Accounting for Tail Risk
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: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3023909