Backtesting Value at Risk and Expected Shortfall

In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "e;Elicitability"e; of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "e;Test 1"e; and "e;Test 2"e; developed by Acerbi and Szekely (2014) on different models and for five global market indexes.