BACKTESTING
EXPECTED SHORTFALL
A Practical Guide
EXECUTIVE SUMMARY
Expected shortfall (ES) has attracted                      We provide two methods of computing critical
controversy as a measure of a portfolio’s risk                 values. Finally, the framework is applied to a
since it was introduced in 2001. One reason                   case study, in which we test a set of standard
for this was that some critics suggested ES                   risk models on a selection of equity and fixed
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