65 citations · 122 across the 2 of their papers we have counts for
2 papers
q-fin.RM2018★ 65 cited
Regression Based Expected Shortfall Backtesting
Sebastian Bayer, Timo Dimitriadis
This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for…
math.ST2017★ 57 cited
A Joint Quantile and Expected Shortfall Regression Framework
Timo Dimitriadis, Sebastian Bayer
We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall (ES) of a response variable given a set of covariates. This regression…