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

Tobias Fissler, Johanna F. Ziegel

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

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.
OriginalspracheEnglisch
Seiten (von - bis)58 - 61
FachzeitschriftRisk
Jahrgang2016
AusgabenummerJan
PublikationsstatusVeröffentlicht - 2016

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