Before revision:  A special case of our result shows that the market does not admit regulatory arbitrage for Expected Shortfall at level \alpha if and only if there exists an EMM Q \approx P such that \Vert \frac{\text{d}\mathbb{Q}}{\text{d}\mathbb{P}} \Vert _{\infty < \frac{1}{\alpha}.
After revision:  A special case of our result shows that the market does not admit \rho-arbitrage for Expected Shortfall at level \alpha if and only if there exists an EMM Q \approx P such that \Vert \frac{\text{d}\mathbb{Q}}{\text{d}\mathbb{P}} \Vert _{\infty < \frac{1}{\alpha}.