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

Abstract

In this note, we comment on the relevance of elicitability for backtesting\nrisk measure estimates. In particular, we propose the use of Diebold-Mariano\ntests, and show how they can be implemented for Expected Shortfall (ES), based\non the recent result of Fissler and Ziegel (2015) that ES is jointly elicitable\nwith Value at Risk.\n