Backtesting General Spectral Risk Measures with Application to Expected Shortfall
11 Pages Posted: 24 Oct 2014 Last revised: 22 Feb 2015
Date Written: February 21, 2015
In this note, 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 VaR. Particular attention is given to the special case of Expected Shortfall.
Keywords: Expected Shortfall, Coverage Test, Back Testing
JEL Classification: C10, C52
Suggested Citation: Suggested Citation