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

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  • Tobias Fissler
  • Johanna F. Ziegel
  • Tilmann Gneiting

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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  • Tobias Fissler & Johanna F. Ziegel & Tilmann Gneiting, 2015. "Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting," Papers 1507.00244, arXiv.org, revised Jul 2015.
    • Handle: RePEc:arx:papers:1507.00244
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    References listed on IDEAS

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    1. Susanne Emmer & Marie Kratz & Dirk Tasche, . "What is the best risk measure in practice? A comparison of standard measures," Journal of Risk, Journal of Risk.
    2. Susanne Emmer & Marie Kratz & Dirk Tasche, . "What is the best risk measure in practice? A comparison of standard measures," Journal of Risk, Journal of Risk.
    3. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
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