VaR estimation, forecasting and backtesting
1. Download prices for S&P500.
2. Estimate VAR and ES – historical simulation
3. Employ the coverage test of the significance of the violation ratio. 4. Employ the test of independence of violations.
Copyright By PowCoder代写 加微信 powcoder
5. Backtest Expected Shortfall
London School of Economics
FM 321 Classwork Lecture 9
程序代写 CS代考 加微信: powcoder QQ: 1823890830 Email: powcoder@163.com