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