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Elicitability and identifiability of set-valued measures of systemic risk

Tobias Fissler (), Jana Hlavinová () and Birgit Rudloff ()
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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: 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)
Date: 2021
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DOI: 10.1007/s00780-020-00446-z

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