英文标题：
《Backtesting Expected Shortfall: a simple recipe?》
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作者：
Felix Moldenhauer and Marcin Pitera
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最新提交年份：
2018
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英文摘要：
We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall with respect to its target confidence level we introduce a natural and efficient backtesting framework. Our test statistics is given by the biggest number of worst realisations for the secured position that add up to a negative total. Surprisingly, this simple quantity could be used to construct an efficient backtesting framework for unconditional coverage of Expected Shortfall in a natural extension of the regulatory traffic-light approach for Value-at-Risk. While being easy to calculate, the test statistic is based on the underlying duality between coherent risk measures and scale-invariant performance measures.
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中文摘要：
我们为监管机构可能使用的预期缺口提出了一个新的回溯测试框架。与其单独查看估计的资本储备和实现的现金流，不如将它们绑定到安全的头寸中，这样风险度量就容易得多。利用这个简单的概念，结合预期不足相对于其目标置信水平的单调性，我们引入了一个自然而有效的回溯测试框架。我们的测试统计数据是由担保头寸的最大最差变现数给出的，这些最差变现数加起来等于负总数。令人惊讶的是，这个简单的数量可以用来构建一个有效的回溯测试框架，以无条件覆盖风险价值监管红绿灯方法的自然扩展中的预期不足。虽然易于计算，但测试统计数据基于一致风险度量和规模不变性能度量之间的潜在对偶性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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