What is Acerbi–Szekely ES backtest in FRM Part 2?

A family of statistical tests designed to assess expected shortfall forecasts using both tail events and tail-loss magnitudes. Counting VaR exceptions alone does not directly validate ES. ES backtests use the size of tail losses and, in some forms, exploit the joint elicitability of VaR and ES.

Acerbi–Szekely ES backtest

FRM Part 2 glossary · FRM Part 2

Definition

A family of statistical tests designed to assess expected shortfall forecasts using both tail events and tail-loss magnitudes.

Acerbi–Szekely ES backtest in plain English

Counting VaR exceptions alone does not directly validate ES. ES backtests use the size of tail losses and, in some forms, exploit the joint elicitability of VaR and ES.

Related FRM Part 2 terms

Accuracy ratio (AR)
Annualized loss expectancy (ALE)
Available and Required Stable Funding (ASF/RSF)
AT1 (Additional Tier 1)
Backfill bias
Basel traffic-light test
Basis risk (IRRBB)
Basel Committee Risk Data Principles (BCBS 239)
Bow-tie analysis
Breadth (BR)

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