Quotation Fissler, Tobias, Ziegel, Johanna F. 2016. Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. Risk. 2016 (Jan), 58-61.


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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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Publication's profile

Status of publication Published
Affiliation External
Type of publication Journal article
Journal Risk
WU-Journal-Rating new VW-D
Language English
Title Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
Volume 2016
Number Jan
Year 2016
Page from 58
Page to 61
URL https://www.risk.net/risk-management/2439862/expected-shortfall-is-jointly-elicitable-with-value-at-risk-implications-for-backtesting
DOI na
Open Access Y
Open Access Link https://arxiv.org/abs/1507.00244

Associations

People
Fissler, Tobias (Details)
External
Ziegel, Johanna F. (University of Bern, Switzerland)
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