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


RIS


BibTeX

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.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Finance and Stochastics
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-B, WH-B
Language English
Title Elicitability and Identifiability of Systemic Risk Measures
Volume 25
Number 1
Year 2021
Page from 133
Page to 165
Reviewed? Y
DOI https://doi.org/10.1007/s00780-020-00446-z
Open Access Y
Open Access Link https://doi.org/10.1007/s00780-020-00446-z
JEL C52, G32

Associations

Projects
Dynamic measures of systemic risk
People
Fissler, Tobias (Details)
Hlavinova, Jana (Details)
Rudloff, Birgit (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1117 Actuarial mathematics (Details)
1137 Financial mathematics (Details)
1165 Stochastics (Details)
1918 Risk research (Details)
Google Scholar: Search