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...

Daouia, Abdelaati Girard, Stéphane Stupfler, Gilles

The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management. The alternative family of expectiles is based on squared rather than absolute error loss minimization. It has recently been receiving a lot of attention in actuarial science, econometrics and statistical finance. Both quantiles and exp...

Daouia, Abdelaati Girard, Stéphane Stupfler, Gilles

The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management. The alternative family of expectiles is based on squared rather than absolute error loss minimization. It has recently been receiving a lot of attention in actuarial science, econometrics and statistical finance. Both quantiles and exp...