19-058/III - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

• Authors
  Sander Barendse, University of Oxford; Erik Kole, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
• Publication date
  August 19, 2019

• Keywords
  expected shortfall, backtesting, risk management, tail risk, Value-at-Risk
• JEL
  C12, C53, C58, G17