Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
By Tobias Fissler, J. Ziegel, Tilmann Gneiting. 2015
141 citations recorded by the source corpus.
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.
View Paper: https://www.semanticscholar.org/paper/a8cdb479e9aa830d92bc3941fa7e17ff67f62daf
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Citations in the corpus
- A joint quantile and expected shortfall regression framework (2017, unknown): “1One can interpret the structure of this loss function as follows (Fissler et al., 2016): The first summand in (2.”
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution (2019, methodology): “Our first example is the score used in the empirical analysis of Fissler, Ziegel, and Gneiting (2015).”
- Forecast combinations for value at risk and expected shortfall (2020, background): “In their empirical analysis, Fissler et al. (2016) use the scoring function produced by”