[其他] BACKTESTING EXPECTED SHORTFALL [推广有奖]

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2025Li 发表于 2026-4-20 07:10:59 |AI写论文

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BACKTESTING
EXPECTED SHORTFALL
A Practical Guide
EXECUTIVE SUMMARY
Expected shortfall (ES) has attracted                   We provide two methods of computing critical
controversy as a measure of a portfolio’s risk                values. Finally, the framework is applied to a
since it was introduced in 2001. One reason                case study, in which we test a set of standard
for this was that some critics suggested ES                risk models on a selection of equity and fixed
...