Before revision:   This joint regression framework allows for various applications including estimating, forecasting and backtesting Expected Shortfall , which is particularly relevant in light of the upcoming introduction of Expected Shortfall in the Basel Accords.
After revision:  We find that the Z-estimator is numerically unstable and thus, we rely on M-estimation of the model parameters. This joint regression framework allows for various applications including estimating, forecasting and backtesting Expected Shortfall , which is particularly relevant in light of the upcoming introduction of Expected Shortfall in the Basel Accords.