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, 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

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ES Backtests Without Distributions

`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 of Acerbi-Szekely with critical values for normal distributions
`unconditionalT`	Unconditional expected shortfall (ES) backtest of Acerbi-Szekely with critical values for t distributions

ES Backtests With Distributions

`summary`	Basic expected shortfall (ES) report on failures and severity
`runtests`	Run all expected shortfall backtests (ES) for esbacktestbysim object
`conditional`	Conditional expected shortfall (ES) backtest by Acerbi and Szekely
`unconditional`	Unconditional expected shortfall backtest by Acerbi and Szekely
`quantile`	Quantile expected shortfall (ES) backtest by Acerbi and Szekely
`simulate`	Simulate expected shortfall (ES) test statistics

ES Backtests By Large-Sample Approximation and Simulation

`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`	Simulate Du-Escanciano (DE) expected shortfall (ES) test statistics

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 of esbacktest object.

Expected Shortfall (ES) Backtesting Workflow Using Simulation

This example shows an expected shortfall (ES) backtesting workflow using simulation and the use of esbacktestbysim object.

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.