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

Tobias Fissler; Johanna F. Ziegel

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

Tobias Fissler, Johanna F. Ziegel

Statistics and Mathematics

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Forschung › Begutachtung

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.

Originalsprache	Englisch
Seiten (von - bis)	58 - 61
Fachzeitschrift	Risk
Jahrgang	2016
Ausgabenummer	Jan
Publikationsstatus	Veröffentlicht - 2016

Zugriff auf Dokument

https://arxiv.org/abs/1507.00244Lizenz: Nicht angegeben

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Andere Dateien und Links

https://www.risk.net/risk-management/2439862/expected-shortfall-is-jointly-elicitable-with-value-at-risk-implications-for-backtesting

Zitat

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