We investigate the applicability of semi-parametric approaches for estimating expected shortfall. More precisely, we examine the applicability of several models based on the historical simulation (HS) approach: one based on untransformed historical data, and others based on transformed historical data. Our research shows that the HS models based on certain transformed historical data can reliably be used for the estimation of market risk in terms of the Basel III standards. This investigation was conducted on the capital markets of selected Southern European/Mediterranean countries and those of Serbia and Ireland. Our backtesting results were verified using Monte Carlo testing and the bootstrap method.

中文翻译：

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在半参数预期短缺方法下衡量预期短缺：选定的南欧/地中海国家的案例研究

我们调查了估计预期短缺的半参数方法的适用性。更准确地说，我们检查了几种基于历史模拟 (HS) 方法的模型的适用性：一种基于未转换的历史数据，另一种基于转换后的历史数据。我们的研究表明，基于某些转换历史数据的 HS 模型可以可靠地用于根据巴塞尔协议 III 标准估计市场风险。这项调查是在选定的南欧/地中海国家以及塞尔维亚和爱尔兰的资本市场上进行的。我们的回测结果使用蒙特卡洛测试和引导方法进行了验证。