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




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
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


Hlavinova, Jana (Details)
Institute for Statistics and Mathematics IN (Details)
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