金融工程研究中心学术报告：Backtesting Expected Shortfall: A duration-severity approach

报 告 人： 陆扬  加拿大蒙特利尔康考迪亚(Concordia)大学 副教授 报告时间： 4月29日 下午4点到5点 报告地点：览秀楼105学术报告厅 报告摘要：We propose an original two-part, duration-severity approach to backtesting Expected Shortfall (ES). Recently, probability integral transform (PIT) based ES backtests have gained popularity, but so far, these tests do not allow to test separately the frequency and severity of the Value-at-Risk (VaR) violations. This latter property is essential, since the ES measures the average loss in case of a Value-at-Risk (VaR) violations. We construct a sequence of inter-violation durations, as well as a sequence of severities corresponding to the PIT in case of a violation. Then we derive orthogonal moment conditions satisfied by these two sequences using the theory of (bivariate) orthogonal polynomials. We propose a simple, model-free Wald test which includes as special cases various unconditional coverage and conditional coverage backtests of both VaR and ES, allowing the backtester to easily identify the mis-specified component(s) of the internal model. The test can also be applied to other systemic risk measures such as the marginal expected shortfall. Simulation experiments suggest that our test has good finite sample properties for realistic sample sizes. Through an application to two stock indices, we illustrate how this approach can be used to analyze the reason of a rejection, when it occurs. 报告人简介：陆扬，现任加拿大蒙特利尔康考迪亚(Concordia)大学数学与统计系助理教授(2024年六月起任副教授)。在法国巴黎高等师范学校(Ecole Normale Superieure, Paris)获得数学本科和硕士。2015年在巴黎第九大学(Paris Dauphine University-PSL)拿到应用数学博士。2015至2017年在法国艾克斯马赛大学(Aix-Marseille)任博士后。2017年至2020年期间在巴黎第十三大学 (Universite Sorbonne Paris Nord) 经济系担任终生讲师(Maitre de conferences)。研究内容是保险精算和数理金融。曾在Management Science, Mathematical Finance, Journal of Applied Econometrics, Journal of Risk and Insurance, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, Journal of Banking and Finance, Journal of Applied Econometrics, Electronic Journal of Statistics等杂志发表论文20余篇。