Before revision:   This joint regression framework allows for various applications including estimating, forecasting  and backtesting ES, which is particularly relevant in light of the recent introduction of ES in the Basel Accords.
After revision:  Extensive simulations verify the asymptotic properties and analyze the small sample behavior of the M-estimator for different specification functions. This joint regression framework allows for various applications including estimating, forecasting and backtesting ES, which is particularly relevant in light of the recent introduction of ES in the Basel Accords.