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

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summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall (ES) backtests for esbacktest object
unconditionalNormalUnconditional expected shortfall (ES) backtest of Acerbi-Szekely with critical values for normal distributions
unconditionalTUnconditional expected shortfall (ES) backtest of 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
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

Expected Shortfall (ES) Backtesting Workflow with No Model Distribution Information

This example shows an expected shortfall (ES) backtesting workflow with no model distribution information and the use of esbacktest object.

Expected Shortfall (ES) Backtesting Workflow Using Simulation

This example shows an expected shortfall (ES) backtesting workflow using simulation and the use of esbacktestbysim object.

Workflow for Expected Shortfall (ES) Backtesting by Du and Escanciano

This example shows the workflow for using the Du-Escanciano (DE) expected shortfall (ES) backtests and demonstrates a fixed test window for a single DE model with multiple VaR levels.

Rolling Windows and Multiple Models for Expected Shortfall (ES) Backtesting by Du and Escanciano

This example shows the workflow for using the Du-Escanciano (DE) expected shortfall (ES) backtests for rolling window analyses and testing multiple VaR/ES models.

Expected Shortfall Estimation and Backtesting

This example shows how to perform estimation and backtesting of Expected Shortfall models.

Concepts

Overview of Expected Shortfall Backtesting

Use multiple Expected Shortfall Backtesting tools for assessing VaR models.