Risk Measures: Robustness, Elicitability, and Backtesting

“…we argue that… the median shortfall—that is, the median of the tail loss distribution—is a better option than the expected shortfall for setting the Basel Accords capital requirements due to statistical and economic considerations such as capturing tail risk, robustness, elicitability, backtesting, and surplus invariance.” Lire

Multinomial Backtesting of Distortion Risk Measures

“We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies.” Lire

Bayesian Backtesting for Counterparty Risk Models

“… we find that the Bayesian approach outperforms the classical one in identifying whether a model is correctly specified which is the principal aim of any backtesting framework. The power of the methodology is due to its ability to test individual model parameters and hence identify which aspects of a model are misspecified as well […]