Main Content

Expected Shortfall Backtest

Create an expected shortfall (ES) backtest model and run suite of ES backtests

Expected shortfall (ES) provides an estimate of the expected loss on days when there is a VaR failure. For more information, see esbacktest, esbacktestbysim, and esbacktestbyde.

Objects

esbacktestCreate esbacktest object to run suite of table-based expected shortfall (ES) backtests by Acerbi and Szekely
esbacktestbysimCreate esbacktestbysim object to run simulation-based suite of expected shortfall (ES) backtests by Acerbi and Szekely
esbacktestbydeCreate esbacktestbyde object to run suite of Du and Escanciano expected shortfall (ES) backtests (Since R2019b)

Functions

expand all

summaryReport on failures and severity for basic expected shortfall (ES)
runtestsRun all expected shortfall (ES) backtests for esbacktest object
unconditionalNormalUnconditional expected shortfall (ES) backtest by Acerbi-Szekely with critical values for normal distributions
unconditionalTUnconditional expected shortfall (ES) backtest by Acerbi-Szekely with critical values for t distributions
summaryReport on failures and severity for basic expected shortfall (ES) using simulations
runtestsRun all expected shortfall backtests (ES) for esbacktestbysim object
conditionalConditional expected shortfall (ES) backtest by Acerbi and Szekely
unconditionalUnconditional expected shortfall backtest by Acerbi and Szekely
quantileQuantile expected shortfall (ES) backtest by Acerbi and Szekely
minBiasRelativeMinimally biased relative test for Expected Shortfall (ES) backtest by Acerbi-Szekely (Since R2020b)
minBiasAbsoluteMinimally biased absolute test for Expected Shortfall (ES) backtest by Acerbi-Szekely (Since R2020b)
simulateSimulate expected shortfall (ES) test statistics
summaryReport on failures and severity for basic expected shortfall (ES) using distributions (Since R2019b)
runtestsRun all expected shortfall (ES) backtests for esbacktestbyde object (Since R2019b)
unconditionalDEUnconditional Du-Escanciano (DE) expected shortfall (ES) backtest (Since R2019b)
conditionalDEConditional Du-Escanciano (DE) expected shortfall (ES) backtest (Since R2019b)
simulateSimulate Du-Escanciano (DE) expected shortfall (ES) test statistics (Since R2019b)

Topics