Beschreibung
Estimating different risk measures, such as Value at Risk or Expected Shortfall, for reporting as well as testing purposes is a common task in various financial institutions. The question of evaluating and comparing these estimates is closely related to two concepts already well known in the literature: elicitability and identifiability. We introduce these concepts for systemic risk measures defined by Feinstein, Rudloff and Weber (2016). A banking system with n participants is represented by a random vector Y and the quantity of interest is its aggregated outcome, using some nondecreasing aggregation function Λ. The measure of systemic riskis defined as the set of n-dimensional capital allocation vectors k such that the aggregated outcome Λ(Y+k) is acceptable under a given scalar risk measure ρ. We establish the link between the elicitability and/or identifiability of the systemic risk measure and the underlying scalar risk measure, taking two perspectives on the measures of systemic risk that stem from their set-valued nature. Moreover, we study secondary quality criteria of the scoring and identification functions of these measures.| Zeitraum | 10 Juli 2019 → 12 Juli 2019 |
|---|---|
| Ereignistitel | 23rd International Congress on Insurance: Mathematics and Economics |
| Veranstaltungstyp | Keine Angaben |
| Bekanntheitsgrad | International |