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

DOI10.1214/17-AOAS1041AzbMATH Open1383.62242OpenAlexW2776870927WikidataQ60430053 ScholiaQ60430053MaRDI QIDQ1697366FDOQ1697366

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)

Cited In (2)

• Where does the tail begin? An approach based on scoring rules
• Rejoinder: ``Elicitability and backtesting: perspectives for banking regulation

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