Measuring expected shortfall under semi-parametric expected shortfall approaches: a case study of selected Southern European/Mediterranean countries
In this paper, the authors investigate the applicability of semi-parametric approaches for estimating expected shortfall.
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
Acerbi and Szekely present a backtest for expected shortfall
The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
This paper presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited.
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM).
This paper incorporates volatility forecasting via the exponentially weighted moving average model into traditional tolerance limits for pair-trading strategies, and illustrates how the proposed method helps uncover arbitrage opportunities via the daily…
A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
This paper aims to evaluate the performance of different value-at-risk (VaR) calculation methods, allowing the authors to identify models that are valid for use in emerging markets.
This paper aims to reflect the current state of the discussion on the validation of market risk forecasts by means of backtesting.
This study reviews the various statistical methodologies that are in place to test multiple systematic trading strategies and implements these methodologies under simulation with known artificial trading rules in order to critically compare and evaluate…
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
In this paper, the authors examine the problem of validating and calibrating FHS VaR models, focussing in particular on the Hull and White (1998) approach with EWMA volatility estimates, given its extended use in the industry.
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
In this paper, the authors provide tools to test the correctness of backtest engines for setups with at most one entry and one exit.
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM
The authors propose a general framework to assess the probability of backtest overfitting (PBO).
Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model
This paper aims to derive VaR bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas.
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.