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Balázs Székely

has been a member of Analytics Research team in MSCI Budapest office since December 2011. He contributes to the development of new risk methodologies for Barra and RiskMetrics. Prior to joining MSCI, he was a professor in Budapest University of Technology and Economics (BUTE), where he conducted research on stochastic processes and high-speed communication networks. Balázs obtained a PhD in Mathematics at BUTE in 2005.

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Balázs Székely: Backtestability of Expected Shortfall

The precise definition of backtestability of general risk measures has not been given in the literature yet. In the presentation, we propose a definition which is a natural generalization of Value-at-Risk backtesting. We study the consequences of this new concept on Expected Shortfall backtesting. Finally, we analyze the connection between backtestability and elicitability of risk measures and discover that there is deep connection between them.

Last modified: 2018.11.30.

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