Discussion of ``Elicitability and backtesting: perspectives for banking regulation

DOI10.1214/17-AOAS1041AzbMath1383.62242OpenAlexW2776870927WikidataQ60430053 ScholiaQ60430053MaRDI QIDQ1697366

Hajo Holzmann, Bernhard Klar

Publication date: 19 February 2018

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

Full work available at URL: https://projecteuclid.org/euclid.aoas/1514430266

zbMATH Keywords

forecastingrisk managementscoring rulebacktestingbanking regulation

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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