[R-SIG-Finance] Back testing Expected Shortfall

[Daniel Cegiełka]

śr., 10 cze 2020 o 19:23 Brian G. Peterson <brian using braverock.com> napisał(a):
>
> On Wed, 2020-06-10 at 15:08 +0530, Christofer Bogaso wrote:
> > 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.
>
> If you are using Normal VaR, then you know the Expected Shortfall
> estimate too.
>
> If you are using a different mechanism, then of course the mean loss
> when the loss exceeds the VaR may be significantly different than the
> Normal ES.
>
> So, to backetesting...  the newest Basel standard replaces VaR with ES,
> and requires that banks justify their use of a particular ES model that
> they are using to calculate required regulatory capital.

In my opinion, there is one aspect that introduces some confusion. ES
(CVaR) is now common, but many people, perhaps out of habit, maybe for
historical reasons, still use the term VaR instead of the correct name
(ES).

Best regards,
Daniel


> Regards,
>
> Brian
>
>
> --
> Brian G. Peterson
> ph: +1.773.459.4973
> im: bgpbraverock
>
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