Quotation Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2019. Elicitability and Identifiability of Systemic Risk Measures and other Set-Valued Functionals. Jahrestagung der Deutschen Mathematischen Vereinigung, Karlsruhe, Deutschland, 23.09.-26.09.


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Abstract

This talk is concerned with set-valued functionals, e.g., quantiles, the expected region of a flood, or systemic risk measures introduced in [1]. We introduce a thorough distinction between selective forecasts, specifying single points in the set of interest, and exhaustive forecasts, describing the entire set. This induces two corresponding types of elicitability and identifiability, which turn out to be mutually exclusive [2]. We construct selective identification functions and exhaustive scoring functions for systemic risk measures studied in [1]. In a simulation study, we consider comparative backtests of Diebold-Mariano type as well as Murphy diagrams.

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Publication's profile

Status of publication Published
Affiliation External
Type of publication Paper presented at an academic conference or symposium
Language English
Title Elicitability and Identifiability of Systemic Risk Measures and other Set-Valued Functionals.
Event Jahrestagung der Deutschen Mathematischen Vereinigung
Year 2019
Date 23.09.-26.09.
Country Germany
Location Karlsruhe
URL https://dmv2019.math.kit.edu/

Associations

People
Fissler, Tobias (Details)
Hlavinova, Jana (Details)
Rudloff, Birgit (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
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