A Simple Traffic Light Approach to Backtesting Expected Shortfall

Risks

Nick Costanzino¹  Michael Curran² 

[1] Barclays Capital, 745 7th Ave, New York, NY 10019, USA;Riskcare, New York, NY 10018, USA;

关键词: Expected Shortfall;    backtesting;    Fundamental Review of the Trading Book;   

DOI  :  10.3390/risks6010002

来源: DOAJ

【 摘 要 】

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document Basle Committee on Banking Supervision (1996). The approach relies on the generalized coverage test for Expected Shortfall developed in Costanzino and Curran (2015).

【 授权许可】

Unknown