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Backtesting Expectiles with Moment Conditions


Backtesting Expectiles with Moment Conditions

de Ita Solis, Jesús Armando (2023) Backtesting Expectiles with Moment Conditions. Masters thesis, Concordia University.

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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.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:de Ita Solis, Jesús Armando
Institution:Concordia University
Degree Name:M.A. Sc.
Date:30 July 2023
Thesis Supervisor(s):Lu, Yang and Mailhot, Mélina
ID Code:992760
Deposited By: Jesus Armando de Ita Solis
Deposited On:16 Nov 2023 20:46
Last Modified:16 Nov 2023 20:46
Additional Information:For additional information please contact: jesusdeita.as@gmail.com
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