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esback  

Expected Shortfall Backtesting
View on CRAN: Click here


Download and install esback package within the R console
Install from CRAN:
install.packages("esback")

Install from Github:
library("remotes")
install_github("cran/esback")

Install by package version:
library("remotes")
install_version("esback", "0.3.1")



Attach the package and use:
library("esback")
Maintained by
Sebastian Bayer
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-06-09
Latest Update: 2023-09-03
Description:
Implementations of the expected shortfall backtests of Bayer and Dimitriadis (2020) as well as other well known backtests from the literature. Can be used to assess the correctness of forecasts of the expected shortfall risk measure which is e.g. used in the banking and finance industry for quantifying the market risk of investments. A special feature of the backtests of Bayer and Dimitriadis (2020) is that they only require forecasts of the expected shortfall, which is in striking contrast to all other existing backtests, making them particularly attractive for practitioners.
How to cite:
Sebastian Bayer (2020). esback: Expected Shortfall Backtesting. R package version 0.3.1, https://cran.r-project.org/web/packages/esback. Accessed 25 Jun. 2026.
Previous versions and publish date:
0.3.0 (2020-06-09 12:50)
Other packages that cited esback R package
View esback citation profile
Other R packages that esback depends, imports, suggests or enhances
Complete documentation for esback
Functions, R codes and Examples using the esback R package
Some associated functions: cc_backtest . er_backtest . esback . esr_backtest . parameter_definition . risk_forecasts . 
Some associated R codes: backtest_functions.R . data.R . esback-package.R . utility_functions.R .  Full esback package functions and examples
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