The minimally biased backtest for ES

Acerbi and Szekely present a backtest for expected shortfall


Recent results have shown backtests of expected shortfall (ES) are necessarily approximated, in the sense that they are unavoidably sensitive to possible errors in the prediction of value-at-risk. Carlo Acerbi and Balazs Szekely introduce a backtest for ES that minimises such sensitivity. The bias is small: the effect is generally negligible for small VAR discrepancies. Moreover, the bias is prudential, in the sense that any imperfect VAR prediction results in a more

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