Expected Shortfall is jointly elicitable with Value at Risk -
Implications for backtesting
Implications for backtesting
File(s)
Accepted version
Author(s)
Fissler, T
Ziegel, JF
Gneiting, T
Type
Journal Article
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.
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.
Date Issued
2015-12-21
Date Acceptance
2015-12-01
Citation
Risk.net, 2015, pp.58-61
Publisher
Infopro Digital Risk Limited
Start Page
58
End Page
61
Journal / Book Title
Risk.net
Copyright Statement
© 2015 Infopro Digital Risk Limited.
Identifier
http://arxiv.org/abs/1507.00244v2
Subjects
q-fin.RM
q-fin.RM
q-fin.ST
Publication Status
Published