Caron, Emmanuel Dedecker, Jérôme Michel, Bertrand

This paper introduces the R package slm which stands for Stationary Linear Models. The package contains a set of statistical procedures for linear regression in the general context where the error process is strictly stationary with short memory. We work in the setting of Hannan (1973), who proved the asymptotic normality of the (normalized) least ...

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...