Dear all,
you're invited to the seminar that will take place, in hybrid mode, at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca. More details:
Seminar Venue: University of Milano-Bicocca Department of Statistics and Quantitative Methods Seminar Room 2062, 2nd floor, Building U7
February 7th, 6:00 pm
Webex Link: https://unimib.webex.com/unimib/j.php?MTID=m0cc9dedd3361bac59dc925ac98bd4b50 https://unimib.webex.com/unimib/j.php?MTID=m0cc9dedd3361bac59dc925ac98bd4b50 Password: ytFPzwms558
Speaker: Ruodu Wang (email: ruodu.wang@uwaterloo.ca) Title: E-backtesting
Abstract: 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. Modelfree e-statistics are introduced to formulate e-processes for risk measure forecasts, and unique forms of model-free e-statistics for VaR and ES are characterized using recent results on identification functions. For a given model-free e-statistic, optimal ways of 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.
Best regards, Valeria