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

Tobias Fissler, Johanna F. Ziegel and Tilmann Gneiting

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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.

New Economics Papers: this item is included in nep-rmg
Date: 2015-07, Revised 2015-07
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Published in Risk, January 2016, 58-61

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Handle: RePEc:arx:papers:1507.00244