Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2021. Elicitability and Identifiability of Systemic Risk Measures. Finance and Stochastics. 25 (1), 133-165.

RIS

@ARTICLE{Fissler2021,
title = {Elicitability and Identifiability of Systemic Risk Measures},
author = {Tobias Fissler and Jana Hlavinova and Birgit Rudloff},
year = {2021},
doi = {https://doi.org/10.1007/s00780-020-00446-z},
volume = {25},
number = {1},
language = {EN},
pages = {133-165},
journal = {Finance and Stochastics},
abstract = {Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits a strict identification function (strictly consistent scoring function). We consider measures of systemic risk introduced in Feinstein et al. (SIAM J. Financial Math. 8:672–708, 2017). Since these are set-valued, we work within the theoretical framework of Fissler et al. (preprint, available online at arXiv:1910.07912v2, 2020) 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.},
}