parameter_definition

internal

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

esback

Expected Shortfall Backtesting

Timo Dimitriadis

parameter_definition function

<dl><dt>r</dt>
<dd>A vector of returns.</dd>
<dt>q</dt>
<dd>A vector of Value-at-Risk forecasts.</dd>
<dt>e</dt>
<dd>A vector of Expected Shortfall forecasts.</dd>
<dt>s</dt>
<dd>A vector of volatility forecasts.</dd>
<dt>alpha</dt>
<dd>Scalar probability level in (0, 1).</dd>
<dt>B</dt>
<dd>Number of bootstrap samples. Set to 0 to disable bootstrapping.</dd></dl>

Arguments

Parameter Definitions — parameter_definition

<dl>

<dt>r</dt>
<dd>A vector of returns.</dd>


<dt>q</dt>
<dd>A vector of Value-at-Risk forecasts.</dd>


<dt>e</dt>
<dd>A vector of Expected Shortfall forecasts.</dd>


<dt>s</dt>
<dd>A vector of volatility forecasts.</dd>


<dt>alpha</dt>
<dd>Scalar probability level in (0, 1).</dd>


<dt>B</dt>
<dd>Number of bootstrap samples. Set to 0 to disable bootstrapping.</dd>

</dl>

parameter_definition: Parameter Definitions

Description

Usage

Arguments