| 简介： | The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (VaR). In this transition, the major challenge faced by financial institutions is the unavailability of simple tools for evaluation of ES forecasts (i.e. backtesting ES). The main purpose of this article is to propose such tools. We establish the asymptotic properties of the test, and investigate its finite sample performance through some Monte Carlo simulations. An empirical application to three major stock indexes shows that V aR is generally unresponsive to extreme events such as those experienced during the recent financial crisis, while ES provides a more accurate description of the risk involved. |