Elicitability and identifiability of set-valued measures of systemic risk
Tobias Fissler (),
Jana Hlavinová () and
Birgit Rudloff ()
Additional contact information
Tobias Fissler: Vienna University of Economics and Business (WU)
Jana Hlavinová: Vienna University of Economics and Business (WU)
Birgit Rudloff: Vienna University of Economics and Business (WU)
Finance and Stochastics, 2021, vol. 25, issue 1, No 6, 133-165
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.
Keywords: Consistent scoring functions; Diebold–Mariano tests; Forecast evaluation; M $M$ -estimation; Murphy diagrams; 62F07; 62F10; 91B30; 91G70 (search for similar items in EconPapers)
JEL-codes: C52 G32 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s00780-020-00446-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z
Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2
Access Statistics for this article
Finance and Stochastics is currently edited by M. Schweizer
More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().