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...

A new type of recombining derivative pricing tree is presented as an alternative to standard binomial and trinomial trees. This tree, called the “Willow” tree, expands as the square root of time and therefore avoids the unnecessary computations that are performed in the “wings” of...

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...