Expected Shortfall Backtesting
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Documentation for package ‘esback’ version 0.3.1
Help Pages
| esback-package | esback: A package for backtesting expected shortfall forecasts |
| cc_backtest | Conditional Calibration Backtest |
| er_backtest | Exceedance Residuals Backtest |
| esback | esback: A package for backtesting expected shortfall forecasts |
| esr_backtest | Expected Shortfall Regression Backtest |
| risk_forecasts | Returns and risk forecasts for the S&P 500 index |