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:
esback_0.3.1.tar.gz
esback_0.3.1.zip(r-4.5)esback_0.3.1.zip(r-4.4)esback_0.3.1.zip(r-4.3)
esback_0.3.1.tgz(r-4.4-any)esback_0.3.1.tgz(r-4.3-any)
esback_0.3.1.tar.gz(r-4.5-noble)esback_0.3.1.tar.gz(r-4.4-noble)
esback_0.3.1.tgz(r-4.4-emscripten)esback_0.3.1.tgz(r-4.3-emscripten)
esback.pdf |esback.html✨
esback/json (API)
NEWS
| # Install 'esback' in R: |
| install.packages('esback', repos = c('https://bayerse.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/bayerse/esback/issues
- risk_forecasts - Returns and risk forecasts for the S&P 500 index
Last updated 1 years agofrom:da9844a162. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 27 2024 |
| R-4.5-win | OK | Oct 27 2024 |
| R-4.5-linux | OK | Oct 27 2024 |
| R-4.4-win | OK | Oct 27 2024 |
| R-4.4-mac | OK | Oct 27 2024 |
| R-4.3-win | OK | Oct 27 2024 |
| R-4.3-mac | OK | Oct 27 2024 |
Exports:cc_backtester_backtestesr_backtest
Dependencies:esregFormulalatticeMASSMatrixMatrixModelsquantregRcppRcppArmadilloSparseMsurvival
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Conditional Calibration Backtest | cc_backtest |
| Exceedance Residuals Backtest | er_backtest |
| esback: A package for backtesting expected shortfall forecasts | esback-package esback |
| Expected Shortfall Regression Backtest | esr_backtest |
| Returns and risk forecasts for the S&P 500 index | risk_forecasts |
