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Title: New backtests for unconditional coverage of the expected shortfall Authors:  Robert Loeser - TU Dortmund (Germany) [presenting]
Dominik Wied - University of Cologne (Germany)
Daniel Ziggel - quasol GmbH (Germany)
Abstract: While the Value-at-Risk (VaR) has been the standard risk measure for a long time, the Expected Shortfall (ES) has become more and more popular in recent times, as it provides important information about the tail risk. We present a new backtest for the unconditional coverage property of the ES. The test is based on the so called cumulative violation process. The main advantage is that the distribution of the test statistic is available for finite out-of-sample size which leads to better size and power properties compared to existing tests. Moreover, it can be easily extended to a multivariate test.