回测预期损失：一个简单的方法？
Backtesting Expected Shortfall: a simple recipe?
摘要：
我们提出了一个新的回测框架，预期损失，可以使用的监管机构。我们可以将估计的资本储备和已实现的现金流量绑定到担保头寸中，而不是分别查看，因为这样的风险计量要容易得多。使用这个简单的概念结合单调性的预期损失相对于其目标的信心水平，我们介绍了一个自然和有效的回测框架。我们的测试统计量是由最大数量的最差实现的担保地位，加起来是一个负的总和。令人惊讶的是，这个简单的数量可以用来构建一个有效的回溯测试框架，用于无条件覆盖预期损失，这是对风险价值监管红绿灯方法的自然扩展。虽然很容易计算，但检验统计量是基于一致性风险度量和尺度不变性能度量之间的潜在二元性。
英文摘要：
We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall with respect to its target confidence level we introduce a natural and efficient backtesting framework. Our test statistics is given by the biggest number of worst realisations for the secured position that add up to a negative total. Surprisingly, this simple quantity could be used to construct an efficient backtesting framework for unconditional coverage of Expected Shortfall in a natural extension of the regulatory traffic-light approach for Value-at-Risk. While being easy to calculate, the test statistic is based on the underlying duality between coherent risk measures and scale-invariant performance measures.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
