Recent results have shown backtests of expected shortfall (ES) are necessarily approximated, in the sense that they are unavoidably sensitive to possible errors in the prediction of value-at-risk.

Goldman Sachs recorded one day in which trading losses exceeded value-at-risk estimates in Q4 2025, filings show, one of three US banks to incur a backtesting exception during the period. The last ...

Expectiles are a coherent and elicitable alternative to commonly used market risk measures, but practical backtesting tools have lagged behind. This study proposes new backtests that separate ...

In the fast-paced world of forex trading, success often hinges on preparation and strategy. Backtesting is one of the most effective ways for traders to refine their approaches before putting real ...