Simulate expected shortfall (ES) test statistics
performs a simulation of ES test statistics. The ebts
= simulate(ebts
)simulate
function simulates portfolio outcomes according to the distribution assumptions
indicated in the esbacktestbysim
object, and
calculates all the supported test statistics under each scenario. The simulated
test statistics are used to estimate the significance of the ES backtests.
adds optional name-value pair arguments.ebts
= simulate(ebts
,Name,Value
)
[1] Acerbi, C., and B. Szekely. Backtesting Expected Shortfall. MSCI Inc. December, 2014.
conditional
| esbacktestbyde
| esbacktestbysim
| minBiasAbsolute
| minBiasRelative
| quantile
| runtests
| summary
| unconditional