Elicitability and backtesting: perspectives for banking regulation

DOI10.1214/17-AOAS1041zbMath1383.62247arXiv1608.05498OpenAlexW2592545909MaRDI QIDQ1697365

Natalia Nolde, Johanna F. Ziegel

Publication date: 19 February 2018

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.05498

zbMATH Keywords

forecastingexpected shortfallvalue at riskelicitabilityexpectilesbacktestingbanking regulationrisk measurement procedure

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Hypothesis testing in multivariate analysis (62H15)

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