Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials
By Sullivan Hué, Christophe Hurlin, Yang Lu
Rating
1733
Battle Count: 72
Relevance
8/10
Highly relevant for risk management in quantitative trading strategies, especially for regulatory compliance and internal model validation.
Implementation Complexity
7/10
Requires understanding of advanced statistical concepts and implementation of bivariate orthogonal polynomials, which may be challenging for some practitioners.
Reproducibility
4/5
The paper provides detailed methodology and simulation experiments, enhancing reproducibility. However, specific code implementation is not provided.
About this paper
Methodology: Bivariate Orthogonal Polynomial Expansion. Problem types: Risk Management, Time Series Forecasting, Backtesting.
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