Before revision:  In this article , we consider efficient estimation of risk in practical situations and provide means to improve the accuracy of risk estimators and their performance in backtesting. In particular , we propose an algorithm for bias correction and show how to apply it for generalized Pareto distributions.
After revision:  In this article we show that the link between estimation bias and backtesting can be traced back to the dual relationship between risk measures and the corresponding performance measures, and discuss this in reference to value-at-risk and expected shortfall frameworks. Motivated by this finding , we propose an algorithm for bias correction and show how to apply it for generalized Pareto distributions.