Before revision:   The discussion focuses on three risk measures, value-at-risk , expected shortfall and expectiles, and is supported by a simulation study and data analysis.
After revision:  We argue that supplementing traditional backtests with comparative backtests will enhance the existing trading book regulatory framework for banks by providing the correct incentive for accuracy of risk measure forecasts. In addition, the comparative backtesting framework could be used by banks internally as well as by researchers to guide selection of forecasting methods. The discussion focuses on three risk measures, value-at-risk , expected shortfall and expectiles, and is supported by a simulation study and data analysis.