Add to ORKGIn this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of Fissler and Ziegel (2015) that ES is jointly elicitable with Value at Risk
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the sta...
Publié in Journal of Risk 18:2, 31-60 (2015). DOI : https://doi.org/10.21314/jor.2015.318Expected Sh...
In this paper we propose to measure the model risk of Expected Shortfall as the optimal correction n...
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. I...
Expected shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to ...
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to ...
Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing M...
Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing M...
We investigate the effect of estimation error on backtests of expected shortfall (ES) forecasts. The...
Backtesting of risk measure estimates is an integral part for an effective risk management. With the...
Backtesting of risk measure estimates is an integral part for an effective risk management. With the...
We introduce backtesting methods to assess Value-at-Risk (VaR) and Expected Shortfall (ES) that requ...
We introduce backtesting methods to assess Value-at-Risk (VaR) and Expected Shortfall (ES) that requ...
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES ha...
This paper attempts to provide a decision-theoretic foundation for the mea-surement of economic tail...
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the sta...
Publié in Journal of Risk 18:2, 31-60 (2015). DOI : https://doi.org/10.21314/jor.2015.318Expected Sh...
In this paper we propose to measure the model risk of Expected Shortfall as the optimal correction n...
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. I...
Expected shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to ...
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to ...
Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing M...
Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing M...
We investigate the effect of estimation error on backtests of expected shortfall (ES) forecasts. The...
Backtesting of risk measure estimates is an integral part for an effective risk management. With the...
Backtesting of risk measure estimates is an integral part for an effective risk management. With the...
We introduce backtesting methods to assess Value-at-Risk (VaR) and Expected Shortfall (ES) that requ...
We introduce backtesting methods to assess Value-at-Risk (VaR) and Expected Shortfall (ES) that requ...
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES ha...
This paper attempts to provide a decision-theoretic foundation for the mea-surement of economic tail...
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the sta...
Publié in Journal of Risk 18:2, 31-60 (2015). DOI : https://doi.org/10.21314/jor.2015.318Expected Sh...
In this paper we propose to measure the model risk of Expected Shortfall as the optimal correction n...