Corpus ID: 233324479

Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability

@inproceedings{Fissler2021BacktestingSR,
  title={Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability},
  author={Tobias Fissler and Yannick Hoga},
  year={2021}
}
Backtesting risk measure forecasts requires identifiability (for model validation) and elicitability (for model comparison). The systemic risk measures CoVaR (conditional value-atrisk), CoES (conditional expected shortfall) and MES (marginal expected shortfall), measuring the risk of a position Y given that a reference positionX is in distress, fail to be identifiable and elicitable. We establish the joint identifiability of CoVaR, MES and (CoVaR, CoES) together with the value-at-risk (VaR) of… Expand

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