Expected Shortfall Backtest
Expected shortfall (ES) provides an estimate of the expected loss on days when there is a VaR failure. For more information, seeesbacktest
,esbacktestbysim
, andesbacktestbyde
.
Objects
esbacktest |
创造esbacktest object to run suite of table-based expected shortfall (ES) backtests by Acerbi and Szekely |
esbacktestbysim |
创造esbacktestbysim object to run simulation-based suite of expected shortfall (ES) backtests by Acerbi and Szekely |
esbacktestbyde |
创造esbacktestbyde object to run suite of Du and Escanciano expected shortfall (ES) backtests |
Functions
Examples and How To
Expected Shortfall (ES) Backtesting Workflow with No Model Distribution Information
This example shows an expected shortfall (ES) backtesting workflow with no model distribution information and the use ofesbacktest
目的。
Expected Shortfall (ES) Backtesting Workflow Using Simulation
This example shows an expected shortfall (ES) backtesting workflow using simulation and the use ofesbacktestbysim
目的。
DU和Escanciano的预期不足(ES)进行了回报的工作流程
这个例子显示了使用Du-E工作流scanciano (DE) expected shortfall (ES) backtests and demonstrates a fixed test window for a single DE model with multiple VaR levels.
DU和Escanciano的滚动窗口和多个型号用于预期的不足(ES)进行回测
这个例子显示了使用Du-E工作流scanciano (DE) expected shortfall (ES) backtests for rolling window analyses and testing multiple VaR/ES models.
Expected Shortfall Estimation and Backtesting
This example shows how to perform estimation and backtesting of Expected Shortfall models.
Concepts
Overview of Expected Shortfall Backtesting
Use multiple Expected Shortfall Backtesting tools for assessing VaR models.