一个简单的交通灯方法回测预期不足

ERN: Value-at-Risk (Topic) Pub Date : 2015-05-07 DOI:10.2139/ssrn.2603976

Nick Costanzino, Michael Curran

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引用次数: 22

摘要

我们提出了一种交通灯方法来回溯测试预期不足，这与巴塞尔银行监管委员会在其1996年咨询文件中最初提出的回溯测试VaR的交通灯方法完全一致和类似。该方法依赖于预期不足的广义覆盖测试。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Simple Traffic Light Approach to Backtesting Expected Shortfall

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent and analogous to the Traffic Light approach to backtesting VaR initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document. The approach relies on the generalized coverage test for Expected Shortfall developed in.

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ERN: Value-at-Risk (Topic)

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