New answers tagged backtesting
You can find a backtest for expected shortfall detailed in the paper below Kerkhof, F.L.J., & Melenberg, B. (2004). Backtesting for risk-based regulatory capital. Journal of Banking and Finance, 28, 1845-1865. Best, JK
you should backtest in the future. Thus you calculate your VaR based on the last 250 business days and then look at the return tomorrow. You have to do this in a rolling/sliding fashion. Your approach is in-sample and what you should do is out-of-sample. The number of violations should be binomial. Furthermore you could do a runs test to test whether your ...
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