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Exceedance-based backtesting of expected shortfall

Andrii Liakhovchenko & Dmitrij Celov

The Journal of Risk Model Validation2026https://doi.org/10.21314/jrmv.2026.001article
AJG 1ABDC C
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0.50

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https://doi.org/https://doi.org/10.21314/jrmv.2026.001

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@article{andrii2026,
  title        = {{Exceedance-based backtesting of expected shortfall}},
  author       = {Andrii Liakhovchenko & Dmitrij Celov},
  journal      = {The Journal of Risk Model Validation},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.21314/jrmv.2026.001},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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