Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195799 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-7
Publisher: 
MDPI, Basel
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).
Subjects: 
Expected Shortfall
backtesting
Fundamental Review of the Trading Book
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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