论文标题
e-backtesting
E-backtesting
论文作者
论文摘要
在最近的巴塞尔协定中，预期的短缺（ES）取代了价值风险（VAR），作为银行业市场风险的标准风险措施，使其成为金融监管中最重要的风险措施。风险建模实践中最具挑战性的任务之一是对金融机构提供的回归ES预测。为了为ES设计无模型的回测程序，我们利用了最近开发的电子价值和电子过程技术。引入了回测电子统计量，以制定风险度量预测的电子过程，并使用最新的识别功能结果来表征Var和ES的唯一形式的var和ES的唯一形式。对于给定的回测电子统计，研究了一些用于最佳构建电子过程的标准。所提出的方法可以自然地应用于许多其他风险措施和统计量。我们进行了广泛的仿真研究和数据分析，以说明无模型回测方法的优势，并将其与文献中的方法进行比较。
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most challenging tasks in risk modeling practice is to backtest ES forecasts provided by financial institutions. To design a model-free backtesting procedure for ES, we make use of the recently developed techniques of e-values and e-processes. Backtest e-statistics are introduced to formulate e-processes for risk measure forecasts, and unique forms of backtest e-statistics for VaR and ES are characterized using recent results on identification functions. For a given backtest e-statistic, a few criteria for optimally constructing the e-processes are studied. The proposed method can be naturally applied to many other risk measures and statistical quantities. We conduct extensive simulation studies and data analysis to illustrate the advantages of the model-free backtesting method, and compare it with the ones in the literature.
