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Tobias Fissler

Dr. Tobias Fissler
Telephone:
+43 1 31336 4032
Email:
Contact information and photo taken from and editable at WU Directory.

CV

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Researcher Identifier

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Awards and Honors

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Classifications

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Expertise

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Activities

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Publications

Journal article

2019 Fissler, Tobias, Ziegel, Johanna F. 2019. Order-sensitivity and equivariance of scoring functions. Electronic Journal of Statistics. 13 (1), 1166-1211. open access (Details)
2017 Fissler, Tobias, Thäle, Christoph. 2017. Erratum to: “A four moments theorem for Gamma limits on a Poisson chaos”. Alea. 14 245-247. open access (Details)
  Fissler, Tobias, Podolskij, Mark. 2017. Testing the maximal rank of the volatility process for continuous diffusions observed with noise. Bernoulli. 23 (4B), 3021-3066. (Details)
2016 Fissler, Tobias, Thäle, Christoph. 2016. A four moments theorem for Gamma limits on a Poisson chaos. Alea. 13 (1), 163-192. open access (Details)
  Fissler, Tobias, Ziegel, Johanna F. 2016. Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. Risk. 2016 (Jan), 58-61. open access (Details)
  Fissler, Tobias, Ziegel, Johanna F. 2016. Higher order elicitability and Osband’s principle. Annals of Statistics. 44 (4), 1680-1707. open access (Details)

Paper presented at an academic conference or symposium

2019 Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2019. Consistent Scoring Functions and Murphy Diagrams for set-valued Measures of Systemic Risk. European Meeting of Statisticians, Palermo, Italien, 22.07.-26.07. (Details)
  Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2019. Elicitability and Identifiability of Systemic Risk Measures and other Set-Valued Functionals. Jahrestagung der Deutschen Mathematischen Vereinigung, Karlsruhe, Deutschland, 23.09.-26.09. (Details)
  Fissler, Tobias. 2019. Elicitability of Range Value at Risk. Vienna Congress on Mathematical Finance, Wien, Österreich, 09.09.-11.09. (Details)
2018 Fissler, Tobias. 2018. Consistent scoring functions for forecasts of set-valued functionals. Minisymposium on "Proper scoring rules and consistent scoring functions" Heidelberg, Deutschland, 02.05. (Details)
  Fissler, Tobias. 2018. Elicitability and Identifiability of Measures of Systemic Risk. Finance, Insurance, Probability and Statistics Workshop, London, Großbritannien, 10.09.-11.09. (Details)
  Fissler, Tobias. 2018. Elicitability and Identifiability of Measures of Systemic Risk. 6th Imperial-ETH Workshop on Mathematical Finance, Zürich, Schweiz, 04.04.-06.04. (Details)
  Fissler, Tobias. 2018. Elicitability and Identifiability of Measures of Systemic Risk. 13th German Probability and Statistics Days (GPSD), Freiburg, Deutschland, 27.02.-02.03. (Details)
  Fissler, Tobias. 2018. Order-Sensitivity and Equivariance of Scoring Functions. 13th German Probability and Statistics Days (GPSD), Freiburg, Deutschland, 27.02.-02.03. (Details)
  Fissler, Tobias. 2018. The choice of loss functions in forecast comparison and regression. Mathematics Postdocs and Fellows Day, London, Großbritannien, 17.01. (Details)
2017 Fissler, Tobias, Ziegel, Johanna F, Gneiting, Tilmann. 2017. Elicitability: The quest of comparing risk measure estimates in a meaningful way. 11th International Conference on Computational and Financial Econometrics, London, Großbritannien, 16.12.-18.12. (Details)
  Fissler, Tobias. 2017. Higher order elicitability: Strictly consistent scoring functions for (Value at Risk, Expected Shortfall) and beyond. Workshop on Risk Quantification and Extreme Values in Applications, EPF Lausanne, Schweiz, 15.02.-17.02. (Details)
  Fissler, Tobias. 2017. The Elicitation Problem. 20th European Young Statisticians Meeting, Uppsala, Schweden, 14.08.-18.08. (Details)
2016 Fissler, Tobias, Ziegel, Johanna F. 2016. Higher Order Elicitability: Expected Shortfall is jointly elicitable with Value at Risk - Implications for Backtesting. 12th German Probability and Statistics Days, Ruhr University Bochum, Germany, 01.03.-04.03. (Details)
  Fissler, Tobias. 2016. Higher Order Elicitability: Expected Shortfall is jointly elicitable with Value at Risk - Implications for Backtesting. Vienna Congress on Mathematical Finance, WU Wien, Österreich, 12.09.-14.09. (Details)
2015 Fissler, Tobias. 2015. Higher order elicitability and Osband's principle. 11. Doktorandentreffen Stochastik, Berlin, Germany, 05.08.-07.08. (Details)
  Fissler, Tobias. 2015. Higher order elicitability and Osband's principle. Workshop for young scientists on "Elicitability, Propriety and Related Topics" University of Bern, Switzerland, 28.05.-29.05. (Details)
  Fissler, Tobias. 2015. Higher order elicitability and Osband's principle. European Meeting of Statisticians, Amsterdam, Netherlands, 06.07.-10.07. (Details)
  Fissler, Tobias. 2015. Higher order elicitability and Osband's principle: Expected Shortfall is jointly elicitable with Value at Risk. Dependence and Risk Measures, University of Milano-Bicocca, Italien, 12.11.-13.11. (Details)
2014 Fissler, Tobias. 2014. A Test for the Rank of the Volatility Process in the Presence of Noise. 11th German Probability and Statistics Days, University of Ulm, Germany, 04.03.-07.03. (Details)
  Fissler, Tobias. 2014. Asymptotic Efficiency of Scoring Rules. Workshop on "Propriety and Elicitability" Heidelberg Institute for Theoretical Studies, Deutschland, 18.06. (Details)
  Fissler, Tobias. 2014. Asymptotic Efficiency of Scoring Rules. Workshop for Young Academics of the Deutsche Statistische Gesellschaft, Leibniz University Hannover, Germany, 15.09. (Details)

Working/discussion paper, preprint

2019 Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2019. Elicitability and Identifiability of Systemic Risk Measures and other Set-Valued Functionals. (Details)
  Fissler, Tobias, Ziegel, Johanna F. 2019. Elicitability of Range Value at Risk. (Details)
2017 Fissler, Tobias. 2017. The Elicitation Problem. Proceedings of the 20th European Young Statisticians Meeting (Details)
2016 Fissler, Tobias, Thäle, Christoph. 2016. A new quantitative central limit theorem on the Wiener space with applications to Gaussian processes. (Details)

Book or article review

2018 Fissler, Tobias. 2018. Probability, Statistics and Econometrics. Besprechung von Academic Press, von Oliver Linton. American Statistician, 72, 208-209. (Details)

eBook/chapter in eBook

2017 Fissler, Tobias. 2017. Bologna als Freiheit zur Unfreiheit - Ein Plädoyer für mehr Nüchternheit. Welche Bildung braucht die Wirtschaft. Thomas Philipp. Bern: hep Verlag. https://content-select.com/de/portal/media/view/5966640c-22e0-4dd3-87f4-6933b0dd2d03 (Details)

Diploma thesis

2017 Fissler, Tobias. 2017. On Higher Order Elicitability and Some Limit Theorems on the Poisson and Wiener Space. Diplomarbeit, University of Bern. (Details)

Unpublished lecture

2019 Fissler, Tobias. 2019. The Elicitation Problem - The Quest of Meaningful Forecast Comparison. Research Seminar, WU Vienna, Wien, 09.11.19 (Details)
  Fissler, Tobias. 2019. Forecast Evaluation of Set-Valued Properties. Research Seminar, European Centre for Medium Range Weather Forecasts, Reading, 20.08.19 (Details)
2018 Fissler, Tobias. 2018. Consistent scoring functions for forecasts of set-valued functionals. Oberseminar, University of Stuttgart, Stuttgart, 10.06.18 (Details)
  Fissler, Tobias. 2018. Loss Functions in Action in Forecast Comparison and Regression. Statistics Seminar, Imperial College London, London, 02.02.18 (Details)
2017 Fissler, Tobias. 2017. An Introduction to Elicitability with Applications in Finance. Mathematical Finance Seminar, Imperial College London, London, 25.10.17 (Details)
  Fissler, Tobias. 2017. A new quantitative central limit theorem on the Wiener space with applications to Gaussian processes. Research Seminar, Ruhr University Bochum, Bochum, 04.07.17 (Details)
  Fissler, Tobias. 2017. Testing the maximal rank of the volatility process for continuous diffusions observed with noise. Research Seminar, WU Vienna, Wien, 09.06.17 (Details)
  Fissler, Tobias. 2017. Quality criteria of scoring functions beyond strict consistency. Research Seminar, Heidelberg Institute for Theoretical Studies, Heidelberg, 30.05.17 (Details)
  Fissler, Tobias. 2017. The Elicitation Problem. Research Seminar AG Stochastik, Karlsruhe Institute of Technology, Karlsruhe, 29.05.17 (Details)
  Fissler, Tobias. 2017. Joint evaluation of VaR and ES. Econometrics Colloquium, University of Konstanz, Konstanz, 16.01.17 (Details)
2016 Fissler, Tobias. 2016. Higher Order Elicitability: Expected Shortfall is jointly elicitable with Value at Risk - Implications for Backtesting. Financial and Insurance Mathematics Talk, ETH Zürich, Zürich, 07.04.16 (Details)
2015 Fissler, Tobias. 2015. Testing the maximal rank of the volatility process for continuous diffusions observed with noise. Research Training Group: High dimensional phenomena in probability, Ruhr University Bochum, Bochum, 23.11.15 (Details)
  Fissler, Tobias. 2015. Higher order elicitability and Osband's principle. Institute Seminar,University of Bern, Bern, 21.10.15 (Details)
  Fissler, Tobias. 2015. A four moments theorem for Gamma limits on a Poisson chaos. Thiele Seminar, Aarhus University, Aarhus, 12.05.15 (Details)
2014 Fissler, Tobias. 2014. Asymptotic Efficiency of Scoring Rules. Institute Seminar,University of Bern, Bern, 15.10.14 (Details)
2013 Fissler, Tobias. 2013. A Test for the Rank of the Volatility Process in the Presence of Noise. Institute Seminar,University of Bern, Bern, 20.11.13 (Details)

Projects

  • No projects found.