Package: esback
Type: Package
Title: Expected Shortfall Backtesting
Version: 0.3.1
Date: 2023-09-02
Authors@R: c(person('Sebastian', 'Bayer', email='sebastian.bayer@uni-konstanz.de', role=c('aut', 'cre')), 
             person('Timo', 'Dimitriadis', email='timo.dimitriadis@awi.uni-heidelberg.de', role='aut'))
Description: 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.
License: GPL-3
Encoding: UTF-8
LazyData: true
Depends: R(>= 2.10.0)
Imports: esreg
RoxygenNote: 7.2.3
Repository: https://bayerse.r-universe.dev
Date/Publication: 2023-09-03 18:56:30 UTC
RemoteUrl: https://github.com/bayerse/esback
RemoteRef: HEAD
RemoteSha: da9844a162d13139ca5bc273530df54d0b8f7df5
NeedsCompilation: no
Packaged: 2026-09-22 08:14:47 UTC; root
Author: Sebastian Bayer [aut, cre],
  Timo Dimitriadis [aut]
Maintainer: Sebastian Bayer <sebastian.bayer@uni-konstanz.de>