[R-SIG-Finance] Back testing

[leo sea]

Hi
I am also interested in in ES backtesting.
Good idea
Thanks

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________________________________
From: R-SIG-Finance <r-sig-finance-bounces using r-project.org> on behalf of Christofer Bogaso <bogaso.christofer using gmail.com>
Sent: Wednesday, June 10, 2020 11:38:57 AM
To: r-sig-finance using r-project.org <r-sig-finance using r-project.org>
Subject: [R-SIG-Finance] Back testing

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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