Backtesting Expected Shortfall via Multi-Quantile Regression

By Couperier Ophélie and Leymarie Jérémy
Working Paper (2018)

  • Ophélie Couperier

    CREST - ENSAE

    France

  • Jérémy Leymarie

    University of Orléans

    France

Created

November 9, 2018

Last update

November 11, 2018

Software

Matlab

Ranking

169

Visits

968

Downloads

98

Description

This Matlab code computes the four regression-based backtests for ES of the article "Backtesting Expected Shortfall via Multi-Quantile Regression". The test statistics are devised to assess the coefficients of a multi-quantile regression model which satisfy specific properties when the ES forecasts are valid. To compute the backtests, users must choose the number p of risk levels, and the coverage level tau of ES. The script is applied to the daily returns of the S&P500 index over the period 1997-2012 and allows users to reproduce the figures and tables of the empirical application of this article.

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