Unconditional expected shortfall backtest by Acerbi and Szekely
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
.
[1] Acerbi, C., and B. Szekely. Backtesting Expected Shortfall. MSCI Inc. December, 2014.
conditional
| esbacktestbyde
| esbacktestbysim
| minBiasAbsolute
| minBiasRelative
| quantile
| runtests
| simulate
| summary