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

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.

References in corpus (1)

• Higher order elicitability and Osband's principle

Cited by in corpus (8)

• A Joint Quantile and Expected Shortfall Regression Framework
• Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation
• Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability
• Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals
• Evaluating Range Value at Risk Forecasts
• Elicitability and Identifiability of Systemic Risk Measures
• A review on ranking problems in statistical learning
• Conditional Tail-Related Risk Estimation Using Composite Asymmetric Least Squares and Empirical Likelihood