A simple traffic light approach to backtesting expected shortfall

Nick Costanzino and Michael Curran

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).

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Year of publication:	March 2018
Authors:	Costanzino, Nick ; Curran, Mike
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 1, p. 1-7
Subject:	Expected Shortfall \| backtesting \| Fundamental Review of the Trading Book \| Prognoseverfahren \| Forecasting model \| Statistischer Test \| Statistical test \| USA \| United States \| Theorie \| Theory \| Risikomaß \| Risk measure

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks6010002 [DOI] hdl:10419/195799 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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