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choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over …
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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...
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Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall-or the trading book model...
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. The tests are consistent and divergence rates are faster when the predictor is stationary. Asymptotic theory and …
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