[R-SIG-Finance] Back testing

Christofer Bogaso bog@@o@chr|@to|er @end|ng |rom gm@||@com
Wed Jun 10 11:38:57 CEST 2020


Hi,

I was looking for an idea how banks backtest their models for Expected
Shortfall. Backtesting VaR is well documented but I failed to get any
practical idea about backtesting ES.

Any pointer towards the best practice will be really helpful.

Thanks,



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