Goldman Sachs recorded one day in which trading losses exceeded value-at-risk estimates in Q4 2025, filings show, one of three US banks to incur a backtesting exception during the period. The last ...
Recent results have shown backtests of expected shortfall (ES) are necessarily approximated, in the sense that they are unavoidably sensitive to possible errors in the prediction of value-at-risk.
Expectiles are a coherent and elicitable alternative to commonly used market risk measures, but practical backtesting tools ...
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