{"id":14067494,"url":"https://github.com/BayerSe/esback","last_synced_at":"2025-07-30T01:31:19.759Z","repository":{"id":71190920,"uuid":"102223906","full_name":"BayerSe/esback","owner":"BayerSe","description":"Expected Shortfall Backtesting","archived":false,"fork":false,"pushed_at":"2023-09-03T18:56:35.000Z","size":628,"stargazers_count":11,"open_issues_count":1,"forks_count":4,"subscribers_count":4,"default_branch":"main","last_synced_at":"2024-08-13T07:13:32.782Z","etag":null,"topics":["backtesting","expected-shortfall","r"],"latest_commit_sha":null,"homepage":null,"language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/BayerSe.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null}},"created_at":"2017-09-02T21:16:02.000Z","updated_at":"2024-04-29T19:56:04.000Z","dependencies_parsed_at":"2024-02-19T19:15:50.918Z","dependency_job_id":"01769b04-cb95-4513-b8ac-12e1e15e6328","html_url":"https://github.com/BayerSe/esback","commit_stats":null,"previous_names":[],"tags_count":2,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/BayerSe%2Fesback","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/BayerSe%2Fesback/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/BayerSe%2Fesback/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/BayerSe%2Fesback/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/BayerSe","download_url":"https://codeload.github.com/BayerSe/esback/tar.gz/refs/heads/main","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":228065340,"owners_count":17863980,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["backtesting","expected-shortfall","r"],"created_at":"2024-08-13T07:05:37.540Z","updated_at":"2024-12-04T07:31:12.963Z","avatar_url":"https://github.com/BayerSe.png","language":"R","funding_links":[],"categories":["R"],"sub_categories":[],"readme":"# esback\n\nThe esback can be used to [backtest](https://en.wikipedia.org/wiki/Backtesting) forecasts of the\n[expected shortfall](https://en.wikipedia.org/wiki/Expected_shortfall) risk measure.\n\n## Installation\n\n### CRAN (stable release)\n\nYou can install the released version from\n[CRAN](https://cran.r-project.org/) via:\n\n    install.packages(\"esback\")\n\n\n### GitHub (development)\n\nThe latest version of the package is under development at [GitHub](https://github.com/BayerSe/esback). \nYou can install the development version using these commands:\n\n    install.packages(\"devtools\")\n    devtools::install_github(\"BayerSe/esback\", ref = \"master\")\n    \n## Implemented Backtests\n\nThis package implements the following backtests:\n\n* Expected Shortfall Regression Backtest ([Bayer \u0026 Dimitriadis, 2020])\n* Exceedance Residuals Backtest ([McNeil \u0026 Frey, 2000])\n* Conditional Calibration Backtest ([Nolde \u0026 Ziegel, 2017])\n\n## Examples\n\n    # Load the esback package\n    library(esback)\n   \n    # Load the data\n    data(risk_forecasts)\n    \n    # Plot the returns and expected shortfall forecasts\n    plot(risk_forecasts$r, xlab = \"Observation Number\", ylab = \"Return and ES forecasts\")\n    lines(risk_forecasts$e, col = \"red\", lwd = 2)\n  \n    # Backtest the forecast using the ESR test\n    esr_backtest(r = risk_forecasts$r, e = risk_forecasts$e, alpha = 0.025, version = 1)\n\n\n[McNeil \u0026 Frey (2000)]: https://doi.org/10.1016/S0927-5398(00)00012-8\n[McNeil \u0026 Frey, 2000]: https://doi.org/10.1016/S0927-5398(00)00012-8\n[Nolde \u0026 Ziegel (2017)]: https://projecteuclid.org/euclid.aoas/1514430265\n[Nolde \u0026 Ziegel, 2017]: https://projecteuclid.org/euclid.aoas/1514430265\n[Bayer \u0026 Dimitriadis (2020)]: https://doi.org/10.1093/jjfinec/nbaa013\n[Bayer \u0026 Dimitriadis, 2020]: https://doi.org/10.1093/jjfinec/nbaa013\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2FBayerSe%2Fesback","html_url":"https://awesome.ecosyste.ms/projects/github.com%2FBayerSe%2Fesback","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2FBayerSe%2Fesback/lists"}