easy · Frm Part 2 Market Risk
Why is bootstrapping Expected Shortfall (ES) generally expected to produce more stable results than bootstrapping VaR at the same confidence level?
- ES does not require the i.i.d. assumption for bootstrapping
- ES averages multiple tail points, which diversifies away the noise of a single order statistic
- ES is always a smaller number than VaR, resulting in a smaller standard error
- ES is an elicitable measure, making it easier to backtest
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