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:
Password: ytFPzwms558
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