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

DOI10.1214/17-AOAS1041EzbMath1383.62245MaRDI QIDQ5970271

Marie F. Kratz

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/1514430270

zbMATH Keywords

regulation; risk measure; scoring function; backtesting; banking regulation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H15: Hypothesis testing in multivariate analysis