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

DOI10.1214/17-AOAS1041AMaRDI QIDQ1697366zbMATH OpenOpenAlexWikidataFDO

Authors 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

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

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