unconditional
Unconditional expected shortfall backtest by Acerbi and Szekely
Syntax
Description
runs the unconditional expected shortfall (ES) backtest of Acerbi-Szekely
(2014).TestResults
= unconditional(ebts
)
[
adds an optional name-value pair argument for TestResults
,SimTestStatistic
] = unconditional(ebts
,Name,Value
)TestLevel
.
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Acerbi, C., and B. Szekely. Backtesting Expected Shortfall. MSCI Inc. December, 2014.
Version History
Introduced in R2017b
See Also
summary
| runtests
| conditional
| quantile
| minBiasRelative
| minBiasAbsolute
| simulate
| esbacktestbysim
| esbacktestbyde