Discussion of ``Elicitability and backtesting: perspectives for banking regulation
DOI10.1214/17-AOAS1041AzbMATH Open1383.62242OpenAlexW2776870927WikidataQ60430053 ScholiaQ60430053MaRDI QIDQ1697366FDOQ1697366
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
Recommendations
- Elicitability and backtesting: perspectives for banking regulation
- Discussion of ``Elicitability and backtesting: perspectives for banking regulation
- Discussion of ``Elicitability and backtesting: perspectives for banking regulation
- Backtesting VaR and expectiles with realized scores
- Backtesting expected shortfall and beyond
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 (6)
- Backtesting VaR and expectiles with realized scores
- Where does the tail begin? An approach based on scoring rules
- Rejoinder: ``Elicitability and backtesting: perspectives for banking regulation
- Discussion of ``Elicitability and backtesting: perspectives for banking regulation
- Discussion of ``Elicitability and backtesting: perspectives for banking regulation
- Elicitability and backtesting: perspectives for banking regulation
This page was built for publication: Discussion of ``Elicitability and backtesting: perspectives for banking regulation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1697366)