What question did this study set out to answer?

The study aims to investigate the impact of computational noise on Expected Shortfall backtesting under Basel guidelines.

April 18, 2026Open Access

Contaminated by Construction: Separating Simulation Noise from Model Risk in ES Backtests

Key Points

The study aims to investigate the impact of computational noise on Expected Shortfall backtesting under Basel guidelines.
Analysis of the Acerbi-Székely test statistic
Monte Carlo estimation techniques
Formal verification using Lean 4 and Platonic kernel
Demonstrated that Monte Carlo methods introduce significant computational noise
Identified unmeasured structural weaknesses in the backtesting framework
Proposed implications for improved risk assessment techniques

Abstract

Expected Shortfall backtesting under Basel III/IV suffers from an unmeasured structural weakness: Monte Carlo estimation of ES injects computational noise into the Acerbi-Székely (2014) test statistic, but the magnitude of this contamination has not Maturity: Working Paper. Target venue: Journal of Banking and Finance. Includes formal verification (Lean 4 / Platonic kernel). Part of The Latent research program.

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Cite This Study

Tamás Nagy (Thu,) studied this question.

synapsesocial.com/papers/69e320af40886becb653fd90 https://doi.org/https://doi.org/10.5281/zenodo.19605107

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