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


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Abstract

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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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

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