We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document Basle...

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent and analogous to the Traffic Light approach to backtesting VaR initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document. The approach relies on the...