risk_forecasts

<p>A dataset containing the daily log returns and risk forecasts for the S&amp;P 500 index.
The quantile and expected shortfall forecasts are for the probability level 2.5%.</p>

datasets

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

risk_forecasts function

<p>A data.frame with 4396 rows and 4 variables</p>

risk_forecasts: Returns and risk forecasts for the S&P 500 index

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