Artikel
A simple traffic light approach to backtesting expected shortfall
We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document Basle Committee on Banking Supervision (1996). The approach relies on the generalized coverage test for Expected Shortfall developed in Costanzino and Curran (2015).
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-7 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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Expected Shortfall
backtesting
Fundamental Review of the Trading Book
- Event
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Geistige Schöpfung
- (who)
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Costanzino, Nick
Curran, Michael
- Event
-
Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2018
- DOI
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doi:10.3390/risks6010002
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Costanzino, Nick
- Curran, Michael
- MDPI
Time of origin
- 2018
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