Forecast Encompassing Tests for the Expected Shortfall

• Tác giả: Timo Dimitriadis, Julie Schnaitmann
• Ngôn ngữ: eng
• Ký hiệu phân loại: 155.284 Projective techniques
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163205

Tóm tắt

Comment: International Journal of Forecasting (2020+, forthcoming)We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for the international banking regulation. We utilize joint loss functions for the pair ES and Value at Risk to set up three ES encompassing test variants. The tests are built on misspecification robust asymptotic theory and we investigate the finite sample properties of the tests in an extensive simulation study. We use the encompassing tests to illustrate the potential of forecast combination methods for different financial assets.