Package: esback
Type: Package
Title: Expected Shortfall Backtesting
Version: 0.3.1
Date: 2023-09-02
Authors@R: c(person('Sebastian', 'Bayer', email='sebastian.bayer@uni-konstanz.de', role=c('aut', 'cre')), 
             person('Timo', 'Dimitriadis', email='timo.dimitriadis@awi.uni-heidelberg.de', role='aut'))
Description: Implementations of the expected shortfall backtests of Bayer and Dimitriadis (2020) <doi:10.1093/jjfinec/nbaa013> 
    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) <doi:10.1093/jjfinec/nbaa013> 
    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.
License: GPL-3
Encoding: UTF-8
LazyData: true
Depends: R(>= 2.10.0)
Imports: esreg
RoxygenNote: 7.2.3
NeedsCompilation: no
Packaged: 2023-09-03 18:58:24 UTC; sebastian
Author: Sebastian Bayer [aut, cre],
  Timo Dimitriadis [aut]
Maintainer: Sebastian Bayer <sebastian.bayer@uni-konstanz.de>
Repository: CRAN
Date/Publication: 2023-09-03 19:10:05 UTC
Built: R 4.2.0; ; 2023-09-03 20:07:05 UTC; unix
