Ruo-Du Wang

E-Backtesting Expected Shortfall without Value-at-Risk Forecasts under Time-series Models

Expected Shortfall (ES) measures the average size of tail losses. Its sequential backtests typically also require a Value-at-Risk (VaR) forecast. We develop two e-backtesting methods using only observed losses and ES forecasts: one for iid losses only and the other for time series under an AR-GARCH conditional VaR stru...