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SUMMARY:The Ridge Backtest for Expected Shortfall : Properties and applica
 tions\, for FRTB IMA and more
DTSTART:20220927T120000
DTEND:20220927T130000
DTSTAMP:20260406T171929Z
UID:9b914617eb76e346568f4ec664cfa726e70c99acd6ee7d8b9cca6560
CATEGORIES:Conferences - Seminars
DESCRIPTION:Carlo Acerbi\, Bocconi University\, Milan and LARIX risk consu
 lting\nWe illustrate the "ridge backtest" for ES (proposed in Acerbi and S
 zekely (2017\, 2019)) in the context of the FRTB IMA\, ES-based regulation
  which is coming into effect soon. This backtest is shown to have unique o
 ptimal properties that solve the longstanding puzzle on whether ES can be 
 backtested at all. Besides providing a viable effective backtest\, the pro
 posed method provides richer information than traditional VaR backtests\, 
 in the form of prediction discrepancy metrics in monetary terms. This perm
 its actionable capital management diagnostics and remediation\, and opens 
 the door to the advent of adaptive risk models. We discuss in particular t
 he relevance that this method could have for model validation of FRTB IMAs
 .\n\nPaper
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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