Verification of internal risk measure estimates

DOI10.1515/strm-2015-0007zbMath1356.91102arXiv1410.4382OpenAlexW3099444024MaRDI QIDQ2520725

Mark H. A. Davis

Publication date: 16 December 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.4382

zbMATH Keywords

risk measuresvalue at risk (VaR)statistical testprobability forecastingprequential statisticscalibration of estimatesquantile and mean forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Axioms; other general questions in probability (60A05)

Related Items (10)

Estimating and backtesting risk under heavy tails ⋮ Higher order elicitability and Osband's principle ⋮ On the properties of the Lambda value at risk: robustness, elicitability and consistency ⋮ Short Communication: An Axiomatization of $\Lambda$-Quantiles ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Elicitability and identifiability of set-valued measures of systemic risk ⋮ Unveiling the relation between herding and liquidity with trader lead-lag networks ⋮ Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals ⋮ Quantile-Based Risk Sharing ⋮ On the elicitability of range value at risk

Uses Software

• CAViaR

Cites Work

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