Backtesting The Parametric & Non-Parametric Estimates Expected Shortfall
This paper will examine the forecast ability of different parametric and non-parametric estimation approaches used for Expected Shortfall (ES). As the financial institutions start to shift towards using ES as a risk measure instead of Value at Risk (VaR), the importance of being able to forecast ES increases. The Paper considers Basic Historical Simulation (BHS), Age-Weighted Historical Simulation