esback

esback-package

The esback package contains functions for backtesting expected shortfall forecasts.

Implementations of the expected shortfall backtests of Bayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013>
as well as other well known backtests from the literature. Can be used to assess the correctness of forecasts of the
expected shortfall risk measure which is e.g. used in the banking and finance industry for quantifying the market risk
of investments. A special feature of the backtests of Bayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013>
is that they only require forecasts of the expected shortfall, which is in striking contrast to all other existing
backtests, making them particularly attractive for practitioners.

Sebastian Bayer

Expected Shortfall Backtesting

Timo Dimitriadis

esback function

<ul>
<li>Exceedance Residuals Backtest (McNeil &amp; Frey, 2000)</li>
<li>Conditional Calibration Backtest (Nolde &amp; Ziegel, 2017)</li>
<li>Expeced Shortfall Regression Backtests (Bayer &amp; Dimitriadis, 2018)</li>
</ul>

Available backtest functions

Maintainer: Sebastian Bayer <a href="/link/sebastian.bayer%40uni-konstanz.de?package=esback&version=0.3.1" data-mini-rdoc="esback::sebastian.bayer@uni-konstanz.de">sebastian.bayer@uni-konstanz.de</a>
Authors:<ul>
<li>Timo Dimitriadis <a href="/link/timo.dimitriadis%40awi.uni-heidelberg.de?package=esback&version=0.3.1" data-mini-rdoc="esback::timo.dimitriadis@awi.uni-heidelberg.de">timo.dimitriadis@awi.uni-heidelberg.de</a></li>
</ul>

Author

esback: A package for backtesting expected shortfall forecasts — esback

<ul>
<li>Exceedance Residuals Backtest (McNeil &amp; Frey, 2000)</li>
<li>Conditional Calibration Backtest (Nolde &amp; Ziegel, 2017)</li>
<li>Expeced Shortfall Regression Backtests (Bayer &amp; Dimitriadis, 2018)</li>
</ul>

Maintainer: Sebastian Bayer <a href='mailto:sebastian.bayer@uni-konstanz.de'>sebastian.bayer@uni-konstanz.de</a>
Authors:<ul>
<li>Timo Dimitriadis <a href='mailto:timo.dimitriadis@awi.uni-heidelberg.de'>timo.dimitriadis@awi.uni-heidelberg.de</a></li>
</ul>

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esback: esback: A package for backtesting expected shortfall forecasts

Description

Arguments

Available backtest functions

Author