Elicitability and Identifiability of Systemic Risk Measures

Tobias Fissler, Jana Hlavinov\'a and Birgit Rudloff

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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, Hlavinov\'a 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.

Date: 2019-07, Revised 2019-10
New Economics Papers: this item is included in nep-rmg
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Published in Finance and Stochastics (2021), Volume 25, No. 1, 133-165

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