Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
Risk Management
2016-08-10 v2 Statistical Finance
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.
Keywords
Cite
@article{arxiv.1507.00244,
title = {Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting},
author = {Tobias Fissler and Johanna F. Ziegel and Tilmann Gneiting},
journal= {arXiv preprint arXiv:1507.00244},
year = {2016}
}