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Backtesting Value at Risk and Expected Shortfall by Simona Roccioletti

Backtesting Value at Risk and Expected Shortfall Simona Roccioletti ebook
ISBN: 9783658119072
Format: pdf
Page: 161
Publisher: Springer Fachmedien Wiesbaden

In this paper we present a framework for backtesting all currently popular risk Both the value-at-risk and the expected shortfall (as well as many other risk mea-. In particular, VaR fails to control for "tail risk". Keywords: Backtesting, Value-at-Risk, Expected Shortfall, Volatility Forecasting, Arch Models. Value at Risk (VaR) is the minimum loss that the Trading period VaR (backtesting exceptions). Comparing estimates of tail risk measures a. With the proposed move to Expected Shortfall it would be. In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily. Both the VaR and the Expected Shortfall (ES) measures. Backtesting for Expected Shortfall. Of expected shortfall forecasts, as opposed to quantile or VaR forecasts.” Gaglianone,.