The Annals of Applied Statistics

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

Patrick Schmidt

Full-text: Open access

Abstract

I discuss the incentive compatibility of comparative and calibration backtesting for banking regulation. In stylized models of risk reporting, calibration backtesting leads to uninformed risk reports that adapt insufficiently to volatility changes. In contrast, comparative backtesting incentivizes information for richer and more accurate models.

Article information

Source
Ann. Appl. Stat. Volume 11, Number 4 (2017), 1883-1885.

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

Permanent link to this document
https://projecteuclid.org/euclid.aoas/1514430267

Digital Object Identifier
doi:10.1214/17-AOAS1041B

Citation

Schmidt, Patrick. Discussion of “Elicitability and backtesting: Perspectives for banking regulation”. Ann. Appl. Stat. 11 (2017), no. 4, 1883--1885. doi:10.1214/17-AOAS1041B. https://projecteuclid.org/euclid.aoas/1514430267


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References

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See also

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