Main Content

Expected Shortfall Backtest

Create an expected shortfall (ES) backtest model and run suite of ES backtests

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.

Objects

esbacktestCreate esbacktest object to run suite of table-based expected shortfall (ES) backtests by Acerbi and Szekely
esbacktestbysimCreate esbacktestbysim object to run simulation-based suite of expected shortfall (ES) backtests by Acerbi and Szekely
esbacktestbydeCreate esbacktestbyde object to run suite of Du and Escanciano expected shortfall (ES) backtests

Functions

expand all

summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall (ES) backtests for esbacktest object
unconditionalNormalUnconditional expected shortfall (ES) backtest by Acerbi-Szekely with critical values for normal distributions
unconditionalTUnconditional expected shortfall (ES) backtest by Acerbi-Szekely with critical values for t distributions
summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall backtests (ES) for esbacktestbysim object
conditionalConditional expected shortfall (ES) backtest by Acerbi and Szekely
unconditionalUnconditional expected shortfall backtest by Acerbi and Szekely
quantileQuantile expected shortfall (ES) backtest by Acerbi and Szekely
minBiasRelativeMinimally biased relative test for Expected Shortfall (ES) backtest by Acerbi-Szekely
minBiasAbsoluteMinimally biased absolute test for Expected Shortfall (ES) backtest by Acerbi-Szekely
simulateSimulate expected shortfall (ES) test statistics
summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall (ES) backtests for esbacktestbyde object
unconditionalDEUnconditional Du-Escanciano (DE) expected shortfall (ES) backtest
conditionalDEConditional Du-Escanciano (DE) expected shortfall (ES) backtest
simulateSimulate Du-Escanciano (DE) expected shortfall (ES) test statistics

Examples and How To

Concepts