). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found … not to be elicitable which means that backtesting for ES is less straight-forward than, e.g., backtesting for VaR … the estimation and backtesting of ES, it can be considered a good risk measure. In particular, there is no sufficient …

Dans cet article, nous proposons une démarche originale visant à évaluer la capacité des tests usuels de backtesting à …

This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by … geometric distribution, this new approach tackles most of the drawbacks usually associated to duration based backtesting …

importance to consider an a priori knowledge of the experts associated to a a posteriori backtesting based on collected incidents. …

for VaR and TaR for each trade or other market microstructure event. We perform a backtesting procedure specifically …

The objective of this paper is to propose a market risk measure defined in price event time and a suitable backtesting …