Since Value-at-Risk (VaR) disregards tail losses beyond the VaR boundary, the expected shortfall (ES), which measures … the average loss when a VaR is exceeded, and the tail-risk-of-VaR (TR), which sums the sizes of tail losses, are used to … small sample asymptotic technique to backtest ES and TR. Because the two risk measures are complementary to each other and …

, which is called G-bounds. Constructed G-bounds evaluate risk in the financial markets more carefully than models based on …, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher …