A Simple Traffic Light Approach to Backtesting Expected Shortfall

Nick Costanzino and Michael Curran
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Nick Costanzino: Barclays Capital, 745 7th Ave, New York, NY 10019, USA
Michael Curran: Riskcare, New York, NY 10018, USA

Risks, 2018, vol. 6, issue 1, 1-7

Abstract: We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document Basle Committee on Banking Supervision (1996). The approach relies on the generalized coverage test for Expected Shortfall developed in Costanzino and Curran (2015).

Keywords: Expected Shortfall; backtesting; Fundamental Review of the Trading Book (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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