Motivated by the growing interest of investors in commodities and by advances in risk measurement, we present a full‐scale analysis of expected shortfall (ES) in commodity futures markets. Besides illustrating the dynamics of historic ES, we evaluate whether popular estimators are suitable for forecasting future ES. By implementing a new backtest, we find that the performance of estimators hinges on market stability. Estimators tend to fail when markets are in turmoil and accurate forecasts are urgently needed. Even though a kernel method performs best on average, our results advise against the use of established estimators for risk (and margin) prediction.

中文翻译：

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商品期货市场预期短缺的时变动态

受投资者对商品日益增长的兴趣以及风险衡量的进步的推动，我们对商品期货市场的预期缺口（ES）进行了全面分析。除了说明历史性ES的动态，我们还评估流行的估计量是否适合预测未来的ES。通过实施新的回测，我们发现估算器的性能取决于市场的稳定性。当市场动荡且迫切需要准确的预测时，估计器往往会失败。即使采用核方法平均而言效果最好，我们的结果也建议不要将既定的估计量用于风险（和保证金）预测。