Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
| Data(s) |
01/01/2016
|
|---|---|
| Resumo |
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of Fissler and Ziegel (2015) that ES is jointly elicitable with Value at Risk. |
| Formato |
application/pdf |
| Identificador |
http://boris.unibe.ch/76186/1/1507.00244.pdf Fissler, Tobias; Ziegel, Johanna F.; Gneiting, Tilmann (2016). Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. Risk Magazine Incisive Financial Publ. doi:10.7892/boris.76186 urn:issn:0952-8776 |
| Idioma(s) |
eng |
| Publicador |
Incisive Financial Publ. |
| Relação |
http://boris.unibe.ch/76186/ http://www.risk.net/risk-magazine/technical-paper/2439862/expected-shortfall-is-jointly-elicitable-with-value-at-risk-implications-for-backtesting |
| Direitos |
info:eu-repo/semantics/restrictedAccess |
| Fonte |
Fissler, Tobias; Ziegel, Johanna F.; Gneiting, Tilmann (2016). Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. Risk Magazine Incisive Financial Publ. |
| Palavras-Chave | #510 Mathematics |
| Tipo |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion PeerReviewed |
