Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

These Matlab codes compute the unconditional coverage and independence backtesting tests for the systemic risk measures of the article “Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures”. We provide the codes that allow to reproduce the empirical sizes and size-corrected powers presented in the Monte Carlo simulations (Section 3.3 of the article). Furthermore, we make available the codes that have been used to obtain all the outputs of the empirical application (Section 5 of the article). They allow reproducing all the figures of the empirical application of this article.

The article is available at SSRN: https://ssrn.com/abstract=3456052 or http://dx.doi.org/10.2139/ssrn.3456052