https://github.com/BayerSe/esback

Expected Shortfall Backtesting
https://github.com/BayerSe/esback

backtesting expected-shortfall r

Last synced: 9 days ago
JSON representation

Expected Shortfall Backtesting

• Host: GitHub
• URL: https://github.com/BayerSe/esback
• Owner: BayerSe
• Created: 2017-09-02T21:16:02.000Z (over 7 years ago)
• Default Branch: main
• Last Pushed: 2023-09-03T18:56:35.000Z (over 1 year ago)
• Last Synced: 2024-08-13T07:13:32.782Z (4 months ago)
• Topics: backtesting, expected-shortfall, r
• Language: R
• Size: 613 KB
• Stars: 11
• Watchers: 4
• Forks: 4
• Open Issues: 1
• Metadata Files:
  • Readme: README.md

Awesome Lists containing this project

• jimsghstars - BayerSe/esback - Expected Shortfall Backtesting (R)

README

        
# esback

The esback can be used to [backtest](https://en.wikipedia.org/wiki/Backtesting) forecasts of the

[expected shortfall](https://en.wikipedia.org/wiki/Expected_shortfall) risk measure.

## Installation

### CRAN (stable release)

You can install the released version from

[CRAN](https://cran.r-project.org/) via:

    install.packages("esback")

### GitHub (development)

The latest version of the package is under development at [GitHub](https://github.com/BayerSe/esback). 

You can install the development version using these commands:

    install.packages("devtools")

    devtools::install_github("BayerSe/esback", ref = "master")

    

## Implemented Backtests

This package implements the following backtests:

* Expected Shortfall Regression Backtest ([Bayer & Dimitriadis, 2020])

* Exceedance Residuals Backtest ([McNeil & Frey, 2000])

* Conditional Calibration Backtest ([Nolde & Ziegel, 2017])

## Examples

    # Load the esback package

    library(esback)

   

    # Load the data

    data(risk_forecasts)

    

    # Plot the returns and expected shortfall forecasts

    plot(risk_forecasts$r, xlab = "Observation Number", ylab = "Return and ES forecasts")

    lines(risk_forecasts$e, col = "red", lwd = 2)

  

    # Backtest the forecast using the ESR test

    esr_backtest(r = risk_forecasts$r, e = risk_forecasts$e, alpha = 0.025, version = 1)

[McNeil & Frey (2000)]: https://doi.org/10.1016/S0927-5398(00)00012-8

[McNeil & Frey, 2000]: https://doi.org/10.1016/S0927-5398(00)00012-8

[Nolde & Ziegel (2017)]: https://projecteuclid.org/euclid.aoas/1514430265

[Nolde & Ziegel, 2017]: https://projecteuclid.org/euclid.aoas/1514430265

[Bayer & Dimitriadis (2020)]: https://doi.org/10.1093/jjfinec/nbaa013

[Bayer & Dimitriadis, 2020]: https://doi.org/10.1093/jjfinec/nbaa013