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Podcast: Acerbi on backtesting ES and FRTB's patchwork rules

Banque Pictet quant explains a new backtesting method for expected shortfall ....

Banque Pictet , Balazs Szekely , Carlo Acerbi , Central Bank , Basel Committee On Banking Regulation , Basel Committee , Banking Regulation , Google Podcasts , Basel Committee On Banking Supervision Bcbs , Alue At Risk Var , Expected Shortfall Es , Frisk Measures , P Ampl Attribution Test , Risk Management ,

Backtesting expected shortfall: mission accomplished?

A rigorous backtest for ES cannot exist, but a good approximation might do the job ....

Banque Pictet , Marco Orlandi , Balazs Szekely , Carlo Acerbi , Tilmann Gneiting , Basel Committee , Central Bank , Expected Shortfall Es , Alue At Risk Var , Market Risk , Quantitative Analysis , Sur Take , Risk Management ,