Backtesting risk measures represents a challenge and complex methods are often required. In this paper, we propose a new framework for backtesting that can be applied to every law invariant risk measures. We base our approach on the formalization of the concept of level of coverage associated...

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...