Journal of Risk Model Validation

Backtesting general spectral risk measures with application to expected shortfall

Nick Costanzino and Mike Curran


In this paper, we present a simple, practical and easily implementable coverage test to backtest any spectral risk measure. Our test gives a single decision at a specified confidence level and is perfectly consistent with the binomial test for value-at-risk. Particular attention is given to the special case of expected shortfall.

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