Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
条件风险价值与条件预期损失的高效回测
–Given the importance of backtesting risk models and forecasts for financial institutions and regulators, we develop an efficient empirical likelihood backtest for either conditional value-at-risk or conditional expected shortfall when the given risk variable is modeled by an ARMA-GARCH process. Using a two-step procedure, the proposed backtests require less finite moments than existing backtests, allowing for robustness to heavier tails. Furthermore, we add a constraint on…