无条件覆盖预期短缺的新回溯测试

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2018-08-08 DOI:10.17877/DE290R-17329

Robert Löser, Dominik Wied, D. Ziggel

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引用次数: 10

摘要

长期以来，风险价值一直是衡量风险的标准，但近年来，预期缺口（ES）越来越受欢迎，因为它提供了有关尾部风险的重要信息。我们对ES的无条件覆盖特性提出了一种新的反测试。该测试基于所谓的累积违反过程，其主要优点是已知样本量有限的分布。与现有测试相比，这导致了更好的尺寸和功率特性。此外，我们将检验原理扩展到多元检验，并通过模拟和银行回报的应用来分析其行为。

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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New Backtests for Unconditional Coverage of Expected Shortfall

While value-at-risk has been the standard risk measure for a long time, expected shortfall (ES) has become more and more popular in recent times, as it provides important information about tail risk. We present a new backtest for the unconditional coverage property of the ES. The test is based on the so-called cumulative violation process, and its main advantage is that the distribution is known for finite out-of-sample size. This leads to better size and power properties compared with existing tests. Moreover, we extend the test principle to a multivariate test and analyze its behavior via simulations and an application to bank returns.

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.