Abstract

Under the current regulations, banks and insurance companies have the option to use their own internal models to monitor their risk. To this end, Value-at-Risk (VaR) and the Expected Shortfall (ES) are typically used as the risk measures to compute their capital requirements. Nevertheless, both present flaws, such as the lack of coherence for VaR and lack of elicitability for ES. Recently, expectile has attracted much attention as a potential alternative to VaR and ES. However, the literature on expectile is mainly focused on its statistical inference, and just few traditional backtesting procedures have been proposed. This thesis proposes a traditional backtesting procedure for the expectile and considers its application on financial data.