Backtesting Expected Shortfall
I have a question regarding Backtesting Expected Shortfall.. ES is computed by taking average of losses beyond VaR assumption (say 99%) . We backtest VaR by taking actual P&L and checking how many times it has exceeded ?
But how do we backtest Expected shortfall? do we take only actual P&L which breached VaR and look at the average loss? im confused.
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