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  "Date": "2023-09-02",
  "Authors@R": "c(person('Sebastian', 'Bayer', email='sebastian.bayer@uni-konstanz.de', role=c('aut', 'cre')), \nperson('Timo', 'Dimitriadis', email='timo.dimitriadis@awi.uni-heidelberg.de', role='aut'))",
  "Description": "Implementations of the expected shortfall backtests of\nBayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013> as\nwell as other well known backtests from the literature. Can be\nused to assess the correctness of forecasts of the expected\nshortfall risk measure which is e.g. used in the banking and\nfinance industry for quantifying the market risk of\ninvestments. A special feature of the backtests of Bayer and\nDimitriadis (2020) <doi:10.1093/jjfinec/nbaa013> is that they\nonly require forecasts of the expected shortfall, which is in\nstriking contrast to all other existing backtests, making them\nparticularly attractive for practitioners.",
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  "Date/Publication": "2023-09-03 18:56:30 UTC",
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