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

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.

Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-04-16
DOI
https://doi.org/10.5281/zenodo.19605107
Primary Topic
Credit Risk and Financial Regulations
Type
article
Field-Weighted Citation Impact
0.00
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article

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

Tamás Nagy
Zenodo (CERN European Organization for Nuclear Research)
Credit Risk and Financial Regulations
article

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

Tamás Nagy
article en

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.

Zenodo (CERN European Organization for Nuclear Research)
Decent work and economic growth
Openalex Percentile: Top 13%
Credit Risk and Financial Regulations
DOIOpen Access PDFOpenAlex
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Contaminated by Construction: Separating Simulation Noise from Model Risk in ES Backtests — Tamás Nagy · Zenodo (CERN European Organization for Nuclear Research) (2026) | TGRS Research Map | TGRS