Package: esback 0.3.1

esback: Expected Shortfall Backtesting

Implementations of the expected shortfall backtests of Bayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013> as well as other well known backtests from the literature. Can be used to assess the correctness of forecasts of the expected shortfall risk measure which is e.g. used in the banking and finance industry for quantifying the market risk of investments. A special feature of the backtests of Bayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013> is that they only require forecasts of the expected shortfall, which is in striking contrast to all other existing backtests, making them particularly attractive for practitioners.

Authors:Sebastian Bayer [aut, cre], Timo Dimitriadis [aut]

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Bug tracker:https://github.com/bayerse/esback/issues

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backtestingexpected-shortfall

3 exports 11 stars 1.59 score 11 dependencies 8 scripts 213 downloads

Last updated 1 years agofrom:da9844a162. Checks:OK: 7. Indexed: yes.

Exports:cc_backtester_backtestesr_backtest

Dependencies:esregFormulalatticeMASSMatrixMatrixModelsquantregRcppRcppArmadilloSparseMsurvival