Backtesting Expected Shortfall

[M_FRM]

Hi

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.

 

[ShaktiRathore]

Hi i found the interesting paper on ES back testing on net:
please refer to it

thanks

 

[M_FRM]

thanks shakti.