The Fundamental Review of the Trading Book has provoked a shift away from relying on the value-at-risk (VaR) toward using the expected shortfall (ES) as a reference risk measure. However, the VaR's lack of coherence and the ES's lack of elicitability make adopting an adequate risk measure a matter of trade-off. The work hereby exhibits a new form of elicitability for the ES that we call nested elicitability, and develops accordingly a nested inference scheme for the ES.