Comparative Backtesting of the Expected Shortfall

Comparative Backtesting of the Expected Shortfall
Thought Leadership Webinar: The Basel Committee proposed in 2013 to shift from the VaR to the Expected Shortfall (ES) for the internal models approach (IMA), which is now part of the new standards for the minimum capital requirements for market risk. While the move from the VaR to the ES seems wise, the ES also brings some new challenges regarding the (comparative) backtesting, which will be discussed during the webinar.
 


Presented By:
Valentin Dendoncker, PhD
Consultant, Reacfin


Date:
December 9, 2020


Time:
10:00 a.m. - 11:00 a.m. EST
3:00 - 4:00 p.m. GMT


Session Length:
60 minutes

 

About This Webinar


In insurance and banking sectors, one important task consists in assessing the risk taken by the companies. This can be achieved by means of a risk measure, such as the Value-at-Risk (VaR) for instance. For banks, this measure has been introduced in the Basel Capital Accord (Basel 1) since 1996 for the computation of the market risk in internal models. However, the financial crisis of 2007-09 highlighted some deficiencies of the VaR. Consequently, the Basel Committee proposed in 2013 to shift from the VaR to the Expected Shortfall (ES) for the internal models approach (IMA), which is now part of the new standards for the minimum capital requirements for market risk. While the move from the VaR to the ES seems wise, the ES also brings some new challenges regarding the (comparative) backtesting, which will be discussed during the webinar. 

Highlights:

  • Some reminders about Value-at-Risk and Expected Shortfall 
  • Comparative backtesting and introduction to the notion of elicitability
  • Comparative backtesting of Value-at-Risk and Expected Shortfall
  • Practical application and case study

About Our Expert  

  
 
  Before joining Reacfin, a Belgian consulting firm in actuarial science and quantitative finance, Dr. Valentin Dendoncker worked as a teaching assistant in mathematics and as a member of the research center in geometry, physics and probability at the UCLouvain (Université catholique de Louvain), where he completed his PhD in science and his Master's degree in actuarial science. He is now a member of the Risk and Finance Center at Reacfin. 
 

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When
12/9/2020 10:00 AM - 11:00 AM
Where
Thought Leadership Webinar
 

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