arXiv (Cornell University) · 2015 · 100 citations · 0 references
BusinessEconomicsFinanceFinancial EconomicsRisk AnalysisRisk AssessmentFinancial RiskRisk ForecastingRisk MeasurementRisk TheoryRisk-return AnalysisValue At RiskConditional Value-at-riskExpected ShortfallExpected Shortfall EstimationRisk Measure Theory
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