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Backtesting Expected Shortfall: the design and implementation of different backtests

open access: yes, 2015
In recent years, the question of whether Expected Shortfall is possible to backtest has been a hot topic after the findings of Gneiting in 2011 that Expected Shortfall lacks a mathematical property called elicitability. However, new research has indicated that backtesting of Expected Shortfall is in fact possible and that it does not have to be very ...
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