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**Hlavinova, Jana.** 2019. Elicitability and Identifiability of Systemic Risk Measures. SIAM Conference on Financial Mathematics & Engineering, Toronto, Kanada, 04.06.-07.06.

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## Abstract

Estimating different risk measures, such as Value at Risk or Expected Shortfall, is a common task in various financial institutions. The question of evaluating and comparing these estimates is closely related to two concepts already well known in the literature: elicitability and identifiability. A statistical functional is called elicitable if there is a strictly consistent scoring function for it, i.e. a function of two arguments, a forecast and a realization of a random variable, such that its expectation with respect to the second argument is minimized only by the correct forecast. It is called identifiable, if there is a strict identification function, i.e. again a function of two arguments such that the root of its expectation with respect to the second argument is exactly the correct forecast. We introduce these concepts for set-valued measures of systemic risk. A banking system with n participants is represented by a random vector Y and the quantity of interest is its aggregated outcome. The measure of systemic risk is defined as the set of n-dimensional capital allocation vectors k such that the aggregated outcome of Y+k is acceptable under a given scalar risk measure. We establish the link between the elicitability and/or identifiability of the systemic risk measure and the underlying scalar risk measure, taking two perspectives on the measures of systemic risk that stem from their set-valued nature.

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## Publication's profile

Status of publication | Published |
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Affiliation | WU |

Type of publication | Paper presented at an academic conference or symposium |

Language | English |

Title | Elicitability and Identifiability of Systemic Risk Measures |

Event | SIAM Conference on Financial Mathematics & Engineering |

Year | 2019 |

Date | 04.06.-07.06. |

Country | Canada |

Location | Toronto |

URL | https://meetings.siam.org/sess/dsp_talk.cfm?p=100171 |