Backtesting General Spectral Risk Measures with Application to Expected Shortfall

11 Pages Posted: 24 Oct 2014 Last revised: 22 Feb 2015

See all articles by Nick Costanzino

Nick Costanzino

Barclays Capital; New York University - Department of Finance and Risk Enginieering

Mike Curran

Independent

Date Written: February 21, 2015

Abstract

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

Costanzino, Nick and Curran, Mike, Backtesting General Spectral Risk Measures with Application to Expected Shortfall (February 21, 2015). Available at SSRN: https://ssrn.com/abstract=2514403 or http://dx.doi.org/10.2139/ssrn.2514403

Nick Costanzino (Contact Author)

Barclays Capital ( email )

745 7th Ave
Floor 2
New York, NY
United States

New York University - Department of Finance and Risk Enginieering

Brooklyn, NY 11201
United States

Mike Curran

Independent ( email )

1431 Broadway
New York, NY 10018

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