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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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a univariate framework by running a simulation study in order to identify the problems of backtests that examine the …
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that consistently yields the desired robust estimates based on an MCMC simulation. The approach is tested on a class of …
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