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Working paper examines the impact of computational noise on Expected Shortfall backtests, indicating a need for improved methods.
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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Tamás Nagy (2026) studied this question.
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