TY  - RPRT
AU  - Novales Cinca, Alfonso Santiago
AU  - Garcia-Jorcano, Laura
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17511
AB  - We use stock market data to analyze the quality of alternative models and procedures for fore- casting expected shortfall (ES) at different significance levels. We compute ES forecasts from conditional models applied to the full distribution of...
LA  - eng
KW  - Extreme value theory
KW  - Skewed distributions
KW  - Expected shortfall
KW  - Backtesting
KW  - Filtered historical simulation.
TI  - Backtesting Extreme Value Theory models of expected shortfall
TY  - technical report
VL  - 2019
ER  -