Back testing Expected Shortfall

?r., 10 cze 2020 o 19:23 Brian G. Peterson <brian at braverock.com> napisa?(a):
On Wed, 2020-06-10 at 15:08 +0530, Christofer Bogaso wrote:
I was looking for an idea how banks backtest their models for
Expected
Shortfall. Backtesting VaR is well documented but I failed to get any
practical idea about backtesting ES.

Any pointer towards the best practice will be really helpful.
If you are using Normal VaR, then you know the Expected Shortfall
estimate too.

If you are using a different mechanism, then of course the mean loss
when the loss exceeds the VaR may be significantly different than the
Normal ES.

So, to backetesting...  the newest Basel standard replaces VaR with ES,
and requires that banks justify their use of a particular ES model that
they are using to calculate required regulatory capital.
In my opinion, there is one aspect that introduces some confusion. ES
(CVaR) is now common, but many people, perhaps out of habit, maybe for
historical reasons, still use the term VaR instead of the correct name
(ES).

Best regards,
Daniel
Regards,

Brian

--
Brian G. Peterson
ph: +1.773.459.4973
im: bgpbraverock

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Back testing Expected Shortfall

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