Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...

Couperier, Ophélie Leymarie, Jérémy

In this article, we propose a new approach to backtest Expected Shortfall (ES) exploiting the definition of ES as a function of Value-at-Risk (VaR). Our methodology jointly examines the validity of the VaR forecasts along the tail distribution of the risk model, and hence encompasses the Basel Committee recommendation of verifying quantiles at risk...