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

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 and 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:

25 Apr 2017 23:44

ArXiv ID:

1507.00244

BORIS DOI:

10.7892/boris.76186

URI:

https://boris.unibe.ch/id/eprint/76186

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