Elicitability and Identifiability of Systemic Risk Measures

Publication: Scientific journalJournal articlepeer-review

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.
Original languageEnglish
Pages (from-to)133 - 165
JournalFinance and Stochastics
Volume25
Issue number1
DOIs
Publication statusPublished - 2021

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 401117 Viticulture
  • 101007 Financial mathematics
  • 101019 Stochastics
  • 107007 Risk research

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