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

Tobias Fissler, Johanna F. Ziegel

Publication: Scientific journalJournal articlepeer-review


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.
Original languageEnglish
Pages (from-to)58 - 61
Issue numberJan
Publication statusPublished - 2016

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