Backtesting Expected Shortfall
This paper examines the “back-testability” of Expected Shortfall and if different backtesting methods produce similar results, with the aim of illuminating whether various markets have any effect on the methods’ ability to perform. In order to answer this question, the three backtesting methods – Test 1 and Test 2 by Acerbi & Szekely, and the Approximative Quantile Test by Emmer et al. – are i