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

DOI10.1214/17-AOAS1041EzbMath1383.62245OpenAlexW2778041292MaRDI QIDQ5970271

Marie F. Kratz

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/1514430270

zbMATH Keywords

regulationrisk measurescoring functionbacktestingbanking 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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