{"id":40395,"date":"2021-09-22T17:03:45","date_gmt":"2021-09-22T17:03:45","guid":{"rendered":"https:\/\/jums.academy\/a-stevanovic-3-3-2-2-2-2-2\/"},"modified":"2022-10-17T14:44:55","modified_gmt":"2022-10-17T14:44:55","slug":"k-spring","status":"publish","type":"page","link":"https:\/\/jums.academy\/en\/k-spring\/","title":{"rendered":"K. Spring"},"content":{"rendered":"<p><div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-1 hundred-percent-fullwidth non-hundred-percent-height-scrolling\" style=\"--awb-border-radius-top-left:0px;--awb-border-radius-top-right:0px;--awb-border-radius-bottom-right:0px;--awb-border-radius-bottom-left:0px;--awb-overflow:visible;--awb-flex-wrap:wrap;\" ><div class=\"fusion-builder-row fusion-row\"><div class=\"fusion-layout-column fusion_builder_column fusion-builder-column-0 fusion_builder_column_1_1 1_1 fusion-one-full fusion-column-first fusion-column-last fusion-column-no-min-height\" style=\"--awb-bg-size:cover;\"><div class=\"fusion-column-wrapper fusion-flex-column-wrapper-legacy\"><div class=\"accordian fusion-accordian\" style=\"--awb-border-size:1px;--awb-icon-size:13px;--awb-content-font-size:16px;--awb-icon-alignment:left;--awb-hover-color:#f9f9f9;--awb-border-color:#cccccc;--awb-background-color:#ffffff;--awb-divider-color:#e0dede;--awb-divider-hover-color:#e0dede;--awb-icon-color:#000000;--awb-title-color:#333333;--awb-content-color:#333333;--awb-icon-box-color:#333333;--awb-toggle-hover-accent-color:#447c4d;--awb-title-font-family:&quot;Roboto Slab&quot;;--awb-title-font-weight:300;--awb-title-font-style:normal;--awb-title-font-size:16px;--awb-content-font-family:&quot;Roboto Slab&quot;;--awb-content-font-style:normal;--awb-content-font-weight:400;\"><div class=\"panel-group fusion-toggle-icon-unboxed\" id=\"accordion-40395-1\"><div class=\"fusion-panel panel-default panel-2788c1f7546d4be33 fusion-toggle-no-divider\"><div class=\"panel-heading\"><h4 class=\"panel-title toggle\" id=\"toggle_2788c1f7546d4be33\"><a aria-expanded=\"false\" aria-controls=\"2788c1f7546d4be33\" role=\"button\" data-toggle=\"collapse\" data-parent=\"#accordion-40395-1\" data-target=\"#2788c1f7546d4be33\" href=\"#2788c1f7546d4be33\"><span class=\"fusion-toggle-icon-wrapper\" aria-hidden=\"true\"><i class=\"fa-fusion-box active-icon awb-icon-minus\" aria-hidden=\"true\"><\/i><i class=\"fa-fusion-box inactive-icon awb-icon-plus\" aria-hidden=\"true\"><\/i><\/span><span class=\"fusion-toggle-heading\">All Papers sorted by Issue<\/span><\/a><\/h4><\/div><div id=\"2788c1f7546d4be33\" class=\"panel-collapse collapse \" aria-labelledby=\"toggle_2788c1f7546d4be33\"><div class=\"panel-body toggle-content fusion-clearfix\">\n<ul style=\"list-style-type: none;\">\n<li><a href=\"https:\/\/jums.academy\/en\/v7i2\">Junior Management Science, Volume 7, Issue 2, June 2022<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v7i1\">Junior Management Science, Volume 7, Issue 1, March 2022<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v6i4\">Junior Management Science, Volume 6, Issue 4, December 2021<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v6i3\">Junior Management Science, Volume 6, Issue 3, September 2021<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v6i2\">Junior Management Science, Volume 6, Issue 2, June 2021<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v6i1\">Junior Management Science, Volume 6, Issue 1, March 2021<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v5i4\">Junior Management Science, Volume 5, Issue 4, December 2020<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v5i3\">Junior Management Science, Volume 5, Issue 3, September 2020<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v5i2\">Junior Management Science, Volume 5, Issue 2, June 2020<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v5i1\">Junior Management Science, Volume 5, Issue 1, March 2020<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v4i4\">Junior Management Science, Volume 4, Issue 4, December 2019<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v4i3\">Junior Management Science, Volume 4, Issue 3, September 2019<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v4i2\">Junior Management Science, Volume 4, Issue 2, June 2019<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v4i1\">Junior Management Science, Volume 4, Issue 1, March 2019<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v3i4\">Junior Management Science, Volume 3, Issue 4, December 2018<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v3i3\">Junior Management Science, Volume 3, Issue 3, September 2018<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v3i2\">Junior Management Science, Volume 3, Issue 2, June 2018<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v3i1\">Junior Management Science, Volume 3, Issue 1, March 2018<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v2i3\">Junior Management Science, Volume 2, Issue 3, December 2017<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v2i2\">Junior Management Science, Volume 2, Issue 2, September 2017<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/en\/v2i1\">Junior Management Science, Volume 2, Issue 1, June 2017<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/v1i2\">Junior Management Science, Volume 1, Issue 2, December 2016<\/a><\/li>\n<li><a href=\"https:\/\/jums.academy\/v1i1\">Junior Management Science, Volume 1, Issue 1, June 2016<\/a><\/li>\n<\/ul>\n<\/div><\/div><\/div><\/div><\/div>\n<div class=\"fusion-title title fusion-title-1 sep-underline sep-solid fusion-title-text fusion-title-size-five\" style=\"--awb-margin-top-small:0px;--awb-margin-right-small:0px;--awb-margin-bottom-small:20px;--awb-margin-left-small:0px;--awb-sep-color:#000000;\"><h5 class=\"fusion-title-heading title-heading-left fusion-responsive-typography-calculated\" style=\"margin:0;--fontSize:18;--minFontSize:18;line-height:1.38;\"><\/h5><\/div><div class=\"fusion-clearfix\"><\/div><\/div><\/div><\/div><\/div><div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-2 nonhundred-percent-fullwidth non-hundred-percent-height-scrolling\" style=\"--awb-background-position:left top;--awb-border-sizes-top:0px;--awb-border-sizes-bottom:0px;--awb-border-sizes-left:0px;--awb-border-sizes-right:0px;--awb-border-radius-top-left:0px;--awb-border-radius-top-right:0px;--awb-border-radius-bottom-right:0px;--awb-border-radius-bottom-left:0px;--awb-padding-top:0px;--awb-padding-bottom:0px;--awb-flex-wrap:wrap;\" ><div class=\"fusion-builder-row fusion-row\"><div class=\"fusion-layout-column fusion_builder_column fusion-builder-column-1 fusion_builder_column_1_1 1_1 fusion-one-full fusion-column-first fusion-column-last fusion-column-no-min-height\" style=\"--awb-bg-size:cover;\"><div class=\"fusion-column-wrapper fusion-flex-column-wrapper-legacy\"><div class=\"fusion-text fusion-text-1\"><p data-fontsize=\"18\" data-lineheight=\"24\">Junior Management Science, Volume 6, Issue 3, September 2021, 590-636<\/p>\n<h4 data-fontsize=\"18\" data-lineheight=\"24\">Backtesting the Expected Shortfall<\/h4>\n<p><strong>Konstantin Spring, Universit\u00e4t Konstanz <\/strong><strong>(Master Thesis)<\/strong><\/p>\n<\/div><div class=\"fusion-clearfix\"><\/div><\/div><\/div><\/div><\/div><div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-3 hundred-percent-fullwidth non-hundred-percent-height-scrolling\" style=\"--awb-border-radius-top-left:0px;--awb-border-radius-top-right:0px;--awb-border-radius-bottom-right:0px;--awb-border-radius-bottom-left:0px;--awb-margin-top:10px;--awb-flex-wrap:wrap;\" ><div class=\"fusion-builder-row fusion-row\"><div class=\"fusion-layout-column fusion_builder_column fusion-builder-column-2 fusion_builder_column_1_1 1_1 fusion-one-full fusion-column-first fusion-column-last fusion-column-no-min-height\" style=\"--awb-bg-size:cover;\"><div class=\"fusion-column-wrapper fusion-flex-column-wrapper-legacy\"><div class=\"fusion-text fusion-text-2\"><div id=\"docs-chrome\" class=\"docs-material companion-enabled\" tabindex=\"0\" role=\"banner\" aria-label=\"Men\u00fcleiste\">\n<div id=\"docs-additional-bars\">\n<div id=\"formula-bar-name-box-wrapper\" class=\"name-box-enabled formula-bar-with-name-box-wrapper\">\n<div id=\"formula-bar\" class=\"formula-bar\">\n<div id=\"t-formula-bar-input-container\">\n<div dir=\"ltr\">\n<div id=\"t-formula-bar-input\" spellcheck=\"false\">\n<div class=\"cell-input\" dir=\"ltr\" tabindex=\"0\" role=\"combobox\" contenteditable=\"true\" aria-autocomplete=\"list\">\n<div id=\"formula-bar-name-box-wrapper\" class=\"name-box-enabled formula-bar-with-name-box-wrapper\">\n<div id=\"formula-bar\" class=\"formula-bar\">\n<div id=\"t-formula-bar-input-container\">\n<div dir=\"ltr\">\n<div id=\"t-formula-bar-input\" spellcheck=\"false\">\n<div class=\"cell-input\" dir=\"ltr\" tabindex=\"0\" role=\"combobox\" contenteditable=\"true\" aria-autocomplete=\"list\">Backtesting of risk measure estimates is an integral part for an effective risk management. With the growing importance of the Expected Shortfall (ES) to potentially replace the Value at Risk (VaR) as a primary measure for market risk this also calls for suitable backtesting solutions. Although a variety of approaches has been proposed in the past, there is still an on-going discussion whether the ES can be properly backtested. The thesis adds to this discussion in the following way. Five of the most promising backtests for the ES are implemented, compared based on theoretical properties like empirical size and power and tested against ES estimation models which are fitted to historical returns of the S&amp;P 500. In addition, all backtests in scope are assessed against a set of criteria which reflect their practical applicability for both regulators and financial institutions. Results presented within this thesis confirm that backtesting the ES is indeed not much more complicated than backtesting the VaR. Backtesting ES might be conceptually less straight forward, but there are multiple promising approaches which allow for a reasonable validation of ES estimation models.<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div><div class=\"fusion-text fusion-text-3\"><p><em>Keywords: Expected shortfall; backtesting; risk measures; statistical test.<span data-sheets-value=\"{\" data-sheets-userformat=\"{\"><br \/>\n<\/span><\/em><\/p>\n<\/div><div class=\"fusion-text fusion-text-4\"><p><em>DOI:\u00a0https:\/\/doi.org\/10.5282\/jums\/v6i3pp590-636<br \/>\n<\/em><\/p>\n<\/div><div class=\"fusion-clearfix\"><\/div><\/div><\/div><div class=\"fusion-layout-column fusion_builder_column fusion-builder-column-3 fusion_builder_column_1_1 1_1 fusion-one-full fusion-column-first fusion-column-last fusion-column-no-min-height\" style=\"--awb-bg-size:cover;\"><div class=\"fusion-column-wrapper fusion-flex-column-wrapper-legacy\"><div style=\"width: 350px; height: 24px;\" data-mce-style=\"width: 350px; height: 24px;\"><br><\/div><div class=\"fusion-clearfix\"><\/div><\/div><\/div><div class=\"fusion-layout-column fusion_builder_column fusion-builder-column-4 fusion_builder_column_1_1 1_1 fusion-one-full fusion-column-first fusion-column-last fusion-column-no-min-height\" style=\"--awb-bg-size:cover;\"><div class=\"fusion-column-wrapper fusion-flex-column-wrapper-legacy\"><div class=\"fusion-alignright\"><a class=\"fusion-button button-flat fusion-button-default-size button-custom fusion-button-default button-1 fusion-button-default-span fusion-button-default-type\" style=\"--button_accent_color:#ffffff;--button_accent_hover_color:#ffffff;--button_border_hover_color:#96c346;--button_gradient_top_color:#447c4d;--button_gradient_bottom_color:#447c4d;--button_gradient_top_color_hover:#96c346;--button_gradient_bottom_color_hover:#96c346;\" target=\"_blank\" rel=\"noopener noreferrer\" href=\"https:\/\/jums.academy\/wp-content\/uploads\/2021\/09\/MA_Spring.pdf\"><span class=\"fusion-button-text awb-button__text awb-button__text--default\">\n<p>Read issue<\/p>\n<\/span><\/a><\/div><div class=\"fusion-alignright\"><a class=\"fusion-button button-flat fusion-button-default-size button-custom fusion-button-default button-2 fusion-button-default-span fusion-button-default-type\" style=\"--button_accent_color:#ffffff;--button_accent_hover_color:#ffffff;--button_border_hover_color:#96c346;--button_gradient_top_color:#447c4d;--button_gradient_bottom_color:#447c4d;--button_gradient_top_color_hover:#96c346;--button_gradient_bottom_color_hover:#96c346;\" target=\"_blank\" rel=\"noopener noreferrer\" href=\"https:\/\/jums.academy\/wp-content\/uploads\/2021\/09\/A_Spring.pdf\"><span class=\"fusion-button-text awb-button__text awb-button__text--default\">\n<p>Read Appendix<\/p>\n<\/span><\/a><\/div><div class=\"fusion-alignright\"><a class=\"fusion-button button-flat fusion-button-default-size button-custom fusion-button-default button-3 fusion-button-default-span fusion-button-default-type\" style=\"--button_accent_color:#ffffff;--button_accent_hover_color:#ffffff;--button_border_hover_color:#96c346;--button_gradient_top_color:#447c4d;--button_gradient_bottom_color:#447c4d;--button_gradient_top_color_hover:#96c346;--button_gradient_bottom_color_hover:#96c346;\" target=\"_blank\" rel=\"noopener noreferrer\" href=\"https:\/\/doi.org\/10.5282\/jums\/v6i3pp590-636\"><span class=\"fusion-button-text awb-button__text awb-button__text--default\">\n<p>Quote<\/p>\n<\/span><\/a><\/div><div class=\"fusion-clearfix\"><\/div><\/div><\/div><\/div><\/div><div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-4 nonhundred-percent-fullwidth non-hundred-percent-height-scrolling\" style=\"--awb-background-position:left top;--awb-border-sizes-top:0px;--awb-border-sizes-bottom:0px;--awb-border-sizes-left:0px;--awb-border-sizes-right:0px;--awb-border-radius-top-left:0px;--awb-border-radius-top-right:0px;--awb-border-radius-bottom-right:0px;--awb-border-radius-bottom-left:0px;--awb-padding-top:20px;--awb-padding-bottom:20px;--awb-flex-wrap:wrap;\" ><div class=\"fusion-builder-row fusion-row\"><\/div><\/div><div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-5 hundred-percent-fullwidth non-hundred-percent-height-scrolling\" style=\"--awb-border-radius-top-left:0px;--awb-border-radius-top-right:0px;--awb-border-radius-bottom-right:0px;--awb-border-radius-bottom-left:0px;--awb-overflow:visible;--awb-flex-wrap:wrap;\" ><div class=\"fusion-builder-row fusion-row\"><div class=\"fusion-layout-column fusion_builder_column fusion-builder-column-5 fusion_builder_column_1_1 1_1 fusion-one-full fusion-column-first fusion-column-last fusion-column-no-min-height\" style=\"--awb-bg-size:cover;\"><div class=\"fusion-column-wrapper fusion-flex-column-wrapper-legacy\"><div style=\"width: 350px; height: 120px;\" data-mce-style=\"width: 350px; height: 120px;\"><br><\/div><div class=\"fusion-clearfix\"><\/div><\/div><\/div><\/div><\/div><\/p>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":4889,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"jetpack_post_was_ever_published":false,"footnotes":""},"class_list":["post-40395","page","type-page","status-publish","hentry"],"jetpack_shortlink":"https:\/\/wp.me\/P7lBbr-avx","jetpack-related-posts":[],"jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/pages\/40395","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/users\/4889"}],"replies":[{"embeddable":true,"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/comments?post=40395"}],"version-history":[{"count":14,"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/pages\/40395\/revisions"}],"predecessor-version":[{"id":40698,"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/pages\/40395\/revisions\/40698"}],"wp:attachment":[{"href":"https:\/\/jums.academy\/en\/wp-json\/wp\/v2\/media?parent=40395"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}