Expected Shortfall Backtest
Expected shortfall (ES) provides an estimate of the expected loss on
days when there is a VaR failure. For more information, see esbacktest, esbacktestbysim, and
esbacktestbyde.
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 |
Functions
Topics
- 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 of
esbacktestobject. - Expected Shortfall (ES) Backtesting Workflow Using Simulation
This example shows an expected shortfall (ES) backtesting workflow using simulation and the use of
esbacktestbysimobject. - Estimate Expected Shortfall for Asset Portfolios
This example shows how to compute the expected shortfall (ES) for a portfolio of equity positions using three different methods.
- Workflow for Expected Shortfall (ES) Backtesting by Du and Escanciano
This example shows the workflow for using the Du-Escanciano (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
This example shows the workflow for using the Du-Escanciano (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.
