Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials

By Sullivan Hué, Christophe Hurlin, Yang Lu

Published 2024-05-14

Everscope rating

1751.3

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Bivariate Orthogonal Polynomial Expansion. Problem types: Risk Management, Time Series Forecasting, Backtesting.

arXiv:2405.02012 · Paper rankings

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