Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting

2015/07/12 by Tobias Fissler, Johanna F. Ziegel, Tilmann Gneiting · 2 citations
Economics, Econometrics and Finance · #q-fin.RM #q-fin.ST

paper · pdf

published as Risk, January 2016, 58-61

arxiv created 2015/07/12 · arxiv updated 2016/08/10

Abstract

In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of Fissler and Ziegel (2015) that ES is jointly elicitable with Value at Risk.

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