Backtesting expected shortfall and beyond

Deng, KH; Qiu, J

Deng, KH (corresponding author), Renmin Univ China, Hanqing Adv Inst Econ & Finance, Beijing 100872, Peoples R China.

QUANTITATIVE FINANCE, ; ():

Abstract

We conduct a comprehensive study of the performance of leading backtesting procedures for expected shortfall. The tests differ in their analytical com......

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