{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:YSOGSN22LF33JZPFQRLGG7H76D","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"7c37f8e7bec66c36a38cad0066f1056aa7cdf7c693869abdb3261f92b0263e97","cross_cats_sorted":["q-fin.CP","q-fin.MF"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2017-09-05T11:37:19Z","title_canon_sha256":"7dad34e5c98447652fe73f96e0d0862896949f0a0d6687c2d1f5483c721887e4"},"schema_version":"1.0","source":{"id":"1709.01337","kind":"arxiv","version":3}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1709.01337","created_at":"2026-05-18T00:08:27Z"},{"alias_kind":"arxiv_version","alias_value":"1709.01337v3","created_at":"2026-05-18T00:08:27Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1709.01337","created_at":"2026-05-18T00:08:27Z"},{"alias_kind":"pith_short_12","alias_value":"YSOGSN22LF33","created_at":"2026-05-18T12:31:56Z"},{"alias_kind":"pith_short_16","alias_value":"YSOGSN22LF33JZPF","created_at":"2026-05-18T12:31:56Z"},{"alias_kind":"pith_short_8","alias_value":"YSOGSN22","created_at":"2026-05-18T12:31:56Z"}],"graph_snapshots":[{"event_id":"sha256:b618c93e836a22791fc27ce923b26114852949a5c3675b8c6f638cfcda57f3b2","target":"graph","created_at":"2026-05-18T00:08:27Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall with respect to its target confidence level we introduce a natural and efficient backtesting framework. Our test statistics is given by the biggest number of worst realisations for the secured position that add up to a negative total. Surprising","authors_text":"Felix Moldenhauer, Marcin Pitera","cross_cats":["q-fin.CP","q-fin.MF"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2017-09-05T11:37:19Z","title":"Backtesting Expected Shortfall: a simple recipe?"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1709.01337","kind":"arxiv","version":3},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:1cacdf148e31644bf42c0a84606e36dab0e4ac5a21507d78f43b942158af37c8","target":"record","created_at":"2026-05-18T00:08:27Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"7c37f8e7bec66c36a38cad0066f1056aa7cdf7c693869abdb3261f92b0263e97","cross_cats_sorted":["q-fin.CP","q-fin.MF"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2017-09-05T11:37:19Z","title_canon_sha256":"7dad34e5c98447652fe73f96e0d0862896949f0a0d6687c2d1f5483c721887e4"},"schema_version":"1.0","source":{"id":"1709.01337","kind":"arxiv","version":3}},"canonical_sha256":"c49c69375a5977b4e5e58456637cfff0fdc5895bca65c45f0a4bf3e139873415","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"c49c69375a5977b4e5e58456637cfff0fdc5895bca65c45f0a4bf3e139873415","first_computed_at":"2026-05-18T00:08:27.249577Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:08:27.249577Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"KWVb1p1/ZYkSthveBctKzrOAhLi0pQkcukMMuQ2oB47EFTPMnDUmg/xsCO+X6baX4KHBbeMy2OJef5Y6h86tDA==","signature_status":"signed_v1","signed_at":"2026-05-18T00:08:27.249993Z","signed_message":"canonical_sha256_bytes"},"source_id":"1709.01337","source_kind":"arxiv","source_version":3}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:1cacdf148e31644bf42c0a84606e36dab0e4ac5a21507d78f43b942158af37c8","sha256:b618c93e836a22791fc27ce923b26114852949a5c3675b8c6f638cfcda57f3b2"],"state_sha256":"aa1534b6827824eb7587e882cf0654ed34d48238525df9f7eab5557520e36611"}