An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. This research is relevant due to the recent shift in the Basel’s Fundamental Review of the Trading Book from using Value-at-Risk as the leading