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

RIS

@MISC{Fissler2019,
title = {Elicitability and Identifiability of Systemic Risk Measures},
author = {Tobias Fissler and Jana Hlavinova and Birgit Rudloff},
year = {2019},
url = {https://arxiv.org/abs/1907.01306},
language = {EN},
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, Hlavinová 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.},
}