Can someone pls provide an intuitive explanation of why expected shortfall is not elicitable and thus why it is challenging to backtest it?
I have read the following clear definition of elicitable risk measure from the paper “Coherence and Elicitability” by Johanna Ziegel (2013):
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical decision theory, risk measures for which such verification and comparison is possible, are called elicitable.
I can't understand why it is not possible to verify and compare competing estimation procedures for ES.
