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Expected Shortfall Backtest

Create an expected shortfall (ES) backtest model and run suite of ES backtests

Expected shortfall (ES) provides an estimate of the expected loss on days when there is a VaR failure. For more information, see esbacktest and esbacktestbysim.

Using Objects

esbacktestCreate esbacktest object to run suite of table-based expected shortfall (ES) backtests
esbacktestbysimCreate esbacktestbysim object to run simulation-based suite of expected shortfall (ES) backtests

Functions

summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall (ES) backtests for esbacktest object
unconditionalNormalUnconditional expected shortfall (ES) backtest with critical values for normal distributions
unconditionalTUnconditional expected shortfall (ES) backtest with critical values for t distributions
summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall backtests (ES) for esbacktestbysim object
conditionalConditional expected shortfall (ES) backtest
unconditionalUnconditional expected shortfall backtest
quantileQuantile expected shortfall (ES) backtest
simulateSimulate expected shortfall (ES) test statistics

Examples and How To

Expected Shortfall (ES) Backtesting Workflow with No Model Distribution Information

This example shows an expected shortfall (ES) backtesting workflow with no model distribution information and the use of esbacktest object.

Expected Shortfall (ES) Backtesting Workflow Using Simulation

This example shows an expected shortfall (ES) backtesting workflow using simulation and the use of esbacktestbysim object.

Expected Shortfall Estimation and Backtesting

This example shows how to perform estimation and backtesting of Expected Shortfall models.

Concepts

Overview of Expected Shortfall Backtesting

Use multiple Expected Shortfall Backtesting tools for assessing VaR models.

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