Backtesting expected shortfall: A quantitative evaluation

Sammanfattning: How to measure risk is an important question in finance and much work has been done on how to quantitatively measure risk. An important part of this measurement is evaluating the measurements against the outcomes a procedure known as backtesting. A common risk measure is Expected shortfall for which how to backtest has been debated. In this thesis we will compare four different proposed backtests and see how they perform in a realistic setting. The main finding in this thesis is that it is possible to find backtests that perform well but it is important to investigate them thoroughly as small errors in the model can lead to large errors in the outcome of the backtest