Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …

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). This change is motivated by … the appealing theoretical properties of ES as a measure of risk and the poor properties of VaR. In particular, VaR fails …