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.
Last updated 2 years ago
backtestingexpected-shortfall
3.89 score 12 stars 13 scripts 218 downloadsesreg - Joint Quantile and Expected Shortfall Regression
Simultaneous modeling of the quantile and the expected shortfall of a response variable given a set of covariates, see Dimitriadis and Bayer (2019) <doi:10.1214/19-EJS1560>.
Last updated 2 years ago
expected-shortfallquantile-regressionvalue-at-riskopenblascpp
3.52 score 2 stars 1 dependents 11 scripts 361 downloads