Three approaches have been recently proposed in the literature for backtesting Expected Shortfall, each with the advantage of being easy to implement using information readily available from a typical risk management system. The practitioner, however, is left with little information about their...

This article will describe a new way of producing low discrepancy point sets in a very distinct way from that of standard quasi-random methods. Standard quasi-random point sets, such as Sobol sequences, utilize a number theoretical approach; whereas the method in this article uses quite a...

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent and analogous to the Traffic Light approach to backtesting VaR initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document. The approach relies on the...

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...

In this note, 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 VaR. Particular attention is given to the special...