Quotation Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2019. Elicitability and Identifiability of Systemic Risk Measures.




Identification and scoring functions are statistical tools to assess the calibration and the relative performance of risk measure estimates, e.g., in backtesting. A risk measures is called identifiable (elicitable) it it admits a strict identification function (strictly consistent scoring function). We consider measures of systemic risk introduced in Feinstein, Rudloff and Weber (2017). Since these are set-valued, we work within the theoretical framework of Fissler, Hlavinov√° and Rudloff (2019) for forecast evaluation of set-valued functionals. We construct oriented selective identification functions, which induce a mixture representation of (strictly) consistent scoring functions. Their applicability is demonstrated with a comprehensive simulation study.


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Publication's profile

Status of publication Published
Affiliation External
Type of publication Working/discussion paper, preprint
Language English
Title Elicitability and Identifiability of Systemic Risk Measures
Year 2019
URL https://arxiv.org/abs/1907.01306


Fissler, Tobias (Details)
Hlavinova, Jana (Details)
Rudloff, Birgit (Details)
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