The Annals of Applied Statistics

Discussion of “Elicitability and backtesting: Perspectives for banking regulation”

Hajo Holzmann and Bernhard Klar

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Abstract

In our discussion of the insightful paper by Nolde and Ziegel, we further investigate comparative backtests based on consistent scoring rules. We use Diebold–Mariano tests in pairwise comparisons instead of mere rankings in terms of average scores, and illustrate the use of weighted proper scoring rules, which address the quality of forecasts of the full loss distribution in its upper tail rather than some specific risk measure such as the Value at Risk. Overall, at lower levels up to 95%, these allow for better discrimination between competing forecasting methods.

Article information

Source
Ann. Appl. Stat. Volume 11, Number 4 (2017), 1875-1882.

Dates
Received: May 2017
Revised: May 2017
First available in Project Euclid: 28 December 2017

Permanent link to this document
https://projecteuclid.org/euclid.aoas/1514430266

Digital Object Identifier
doi:10.1214/17-AOAS1041A

Keywords
Backtesting forecasting risk management scoring rule

Citation

Holzmann, Hajo; Klar, Bernhard. Discussion of “Elicitability and backtesting: Perspectives for banking regulation”. Ann. Appl. Stat. 11 (2017), no. 4, 1875--1882. doi:10.1214/17-AOAS1041A. https://projecteuclid.org/euclid.aoas/1514430266


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See also

  • Main article: Elicitability and backtesting: Perspectives for banking regulation.