Conditional expected shortfall (ES) backtest by Acerbi and Szekely
runs the conditional ES backtest of Acerbi-Szekely (2014). The conditional test
has two underlying tests, a preliminary Value-at-Risk (VaR) backtest that is
specified using the name-value pair argument TestResults
= conditional(ebts
)VaRTest
, and
the standalone conditional ES backtest. A 'reject'
result on
either underlying test produces a 'reject'
result on the
conditional test.
[
adds optional name-value pair arguments for TestResults
,SimTestStatistic
] = conditional(ebts
,Name,Value
)TestLevel
and
VaRTest
.
[1] Acerbi, C. and Szekely, B. Backtesting Expected Shortfall. MSCI Inc. December, 2014.
bin
| cc
| cci
| esbacktestbyde
| esbacktestbysim
| minBiasAbsolute
| minBiasRelative
| pof
| quantile
| runtests
| simulate
| summary
| tbf
| tbfi
| tl
| tuff
| unconditional