Expected Shortfall Backtest

Create an expected shortfall (ES) backtest model and run suite of ES backtests

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`	Create`esbacktest`object to run suite of table-based expected shortfall (ES) backtests by Acerbi and Szekely
`esbacktestbysim`	Create`esbacktestbysim`object to run simulation-based suite of expected shortfall (ES) backtests by Acerbi and Szekely
`esbacktestbyde`	Create`esbacktestbyde`object to run suite of Du and Escanciano expected shortfall (ES) backtests

`summary`	Basic expected shortfall (ES) report on failures and severity
`runtests`	Run all expected shortfall (ES) backtests for`esbacktest`object
`unconditionalNormal`	Unconditional expected shortfall (ES) backtest by Acerbi-Szekely with critical values for normal distributions
`unconditionalT`	Unconditional expected shortfall (ES) backtest by Acerbi-Szekely with critical values fortdistributions

`summary`	Basic expected shortfall (ES) report on failures and severity
`runtests`	Run all expected shortfall backtests (ES) for`esbacktestbysim`object
`conditional`	Acerbi和Szekely有条件的预期缺口（ES）回测
`unconditional`	Unconditional expected shortfall backtest by Acerbi and Szekely
`quantile`	Quantile expected shortfall (ES) backtest by Acerbi and Szekely
`minBiasRelative`	Acerbi-szekely的预期不足（ES）回测的最小偏见的相对测试
`minBiasAbsolute`	Minimally biased absolute test for Expected Shortfall (ES) backtest by Acerbi-Szekely
`simulate`	Simulate expected shortfall (ES) test statistics

`summary`	Basic expected shortfall (ES) report on failures and severity
`runtests`	Run all expected shortfall (ES) backtests for`esbacktestbyde`object
`unconditionalDE`	Unconditional Du-Escanciano (DE) expected shortfall (ES) backtest
`conditionalDE`	Conditional Du-Escanciano (DE) expected shortfall (ES) backtest
`simulate`	模拟du-escanciano（de）预期不足（ES）测试统计数据

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 ofesbacktestobject.
Expected Shortfall (ES) Backtesting Workflow Using Simulation
This example shows an expected shortfall (ES) backtesting workflow using simulation and the use ofesbacktestbysimobject.
Workflow for Expected Shortfall (ES) Backtesting by Du and Escanciano
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.
Rolling Windows and Multiple Models for Expected Shortfall (ES) Backtesting by Du and Escanciano
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.

Overview of Expected Shortfall Backtesting
Use multiple Expected Shortfall Backtesting tools for assessing VaR models.