Simulate Du-Escanciano (DE) expected shortfall (ES) test statistics
performs a simulation of the Du-Escanciano (DE) [1] expected shortfall (ES) test
statistics. ebtde
= simulate(ebtde
)simulate
simulates scenarios and calculates the
supported test statistics for each scenario. The function uses the simulated
test statistics to estimate the significance of the ES backtests when the
CriticalValueMethod
name-value pair argument for
unconditionalDE
or conditionalDE
is set to 'simulation'
.
specifies options using one or more name-value pair arguments in addition to the
input argument in the previous syntax.ebtde
= simulate(___,Name,Value
)
[1] Du, Z., and J. C. Escanciano. "Backtesting Expected Shortfall: Accounting for Tail Risk." Management Science. Vol. 63, Issue 4, April 2017.
[2] Basel Committee on Banking Supervision. "Minimum Capital Requirements for Market Risk". January 2016 (https://www.bis.org/bcbs/publ/d352.pdf).
conditionalDE
| esbacktestbyde
| esbacktestbysim
| runtests
| summary
| unconditionalDE