Saissi Hassani, Samir; Dionne, Georges - 2021
effect in January 2019. Market risk is measured by Conditional Value at Risk (CVaR) or Expected Shortfall at a confidence … the Basel recommendations, supplementary VaR and CVaR backtests must be performed at different confidence levels. We apply … these tests to various parametric distributions and use non-parametric measures of CVaR, including CVaR- and CVaR+ to …