Tid: 26 augusti 2015 kl 15.15-16.00.

Föredragshållare: Lisa Wimmerstedt

Titel: Backtesting Expected Shortfall: the design and implementation of different backtests (Master's thesis)

Abstract In recent years, the question of whether Expected Shortfall is possible to backtest has been a hot topic after the findings of Gneiting in 2011 that Expected Shortfall lacks a mathematical property called elicitability. However, new research has indicated that backtesting of Expected Shortfall is in fact possible and that it does not have to be very difficult. The purpose of this thesis is to show that Expected Shortfall is in fact backtestable by providing six different examples of how a backtest could be designed without exploiting the property of elicitability. The different approaches are tested and their performances are compared against each other. The material can be seen as guidance on how to think in the initial steps of the implementation of an Expected Shortfall backtest in practice.

The full report (pdf)

Till seminarielistan
To the list of seminars