A simple traffic light approach to backtesting expected shortfall

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document Basle Committee on Banking Supervision (1996). The approach relies on the generalized coverage test for Expected Shortfall developed in Costanzino and Curran (2015).

MoreLess

Year of publication:	2018
Authors:	Costanzino, Nick ; Curran, Michael
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 6.2018, 1, p. 1-7
Publisher:	Basel : MDPI
Subject:	Expected Shortfall \| backtesting \| Fundamental Review of the Trading Book

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks6010002 [DOI] 101770953X [GVK] hdl:10419/195799 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011996565