Results for esbacktestbysim
This example shows an expected shortfall (ES) backtesting workflow using the esbacktestbysim object. The tests supported in the esbacktestbysim object require as inputs not only the test data ( Portfolio , VaR , and ES data), but also the distribution information of the model being tested.
estimate. Using historical data, this example estimates VaR and ES over a test window, using historical and parametric VaR approaches. The parametric VaR is calculated under the assumption of normal and t distributions. This example runs the ES back tests supported in the esbacktest and esbacktestbysim