Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
Backtesting general spectral risk measures with application to expected shortfall
Nick Costanzino and Mike Curran
Abstract
ABSTRACT
In this paper, we present a simple, practical and easily implementable coverage test to backtest any spectral risk measure. Our test gives a single decision at a specified confidence level and is perfectly consistent with the binomial test for value-at-risk. Particular attention is given to the special case of expected shortfall.
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