VaR and ES Estimation Methods
VaR and ES Estimation Methods: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Compare different approaches for estimating Value-at-Risk (VaR) and Expected Shortfall (ES) on simulated loss data. VaR at level α is the α-quantile of the loss distribution; ES at…
The task
Compare different approaches for estimating Value-at-Risk (VaR) and Expected Shortfall (ES) on simulated loss data. VaR at level α is the α-quantile of the loss distribution; ES at level α is the expected loss given that the loss exceeds VaR. The goal is to evaluate how well each estimation method recovers the true…
Part of codeslord/skilltrainbench-public.