Fissler, Tobias; Ziegel, Johanna F.; Gneiting, Tilmann (2016). Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. Risk Magazine Incisive Financial Publ.
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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.
Item Type: |
Journal Article (Original Article) |
|---|---|
Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Fissler, Tobias, Ziegel, Johanna F. |
Subjects: |
300 Social sciences, sociology & anthropology > 360 Social problems & social services 500 Science > 510 Mathematics |
ISSN: |
0952-8776 |
Publisher: |
Incisive Financial Publ. |
Language: |
English |
Submitter: |
Lutz Dümbgen |
Date Deposited: |
08 Mar 2016 13:40 |
Last Modified: |
05 Dec 2022 14:51 |
ArXiv ID: |
1507.00244 |
BORIS DOI: |
10.7892/boris.76186 |
URI: |
https://boris.unibe.ch/id/eprint/76186 |
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