Before revision: While the estimation of risk is an important question in the daily business of banks and insurances, it is surprising that efficient procedures for this task are not well studied. Indeed, many existing plug-in approaches for the estimation of risk suffer from an unnecessary bias which leads to the underestimation of risk and negatively impacts backtesting results, especially in the small sample environment .
After revision: While the estimation of risk is an important question in the daily business of banks and insurances, many existing plug-in approaches for the estimation of risk suffer from an unnecessary bias which leads to the underestimation of risk and negatively impacts backtesting results, especially in the small sample environment .