The Annals of Applied Statistics

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

Chen Zhou

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Article information

Source
Ann. Appl. Stat. Volume 11, Number 4 (2017), 1888-1893.

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/1514430269

Digital Object Identifier
doi:10.1214/17-AOAS1041D

Citation

Zhou, Chen. Discussion on “Elicitability and backtesting: Perspectives for banking regulation”. Ann. Appl. Stat. 11 (2017), no. 4, 1888--1893. doi:10.1214/17-AOAS1041D. https://projecteuclid.org/euclid.aoas/1514430269


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References

  • Acerbi, C. and Szekely, B. (2014). Backtesting expected shortfall. Risk Mag. December 76–81.
  • Angelidis, T., Benos, A. and Degiannakis, S. (2004). The use of GARCH models in VaR estimation. Stat. Methodol. 1 105–128.
  • Engle, R. (2001). GARCH 101: The use of ARCH/GARCH models in applied econometrics. J. Econ. Perspect. 15 157–168.
  • McNeil, A. J. and Frey, R. (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach. J. Empir. Finance 7 271–300.
  • Nolde, N. and Ziegel, J. F. (2017). Elicitability and backtesting: Perspectives for banking regulation. Ann. Appl. Stat. 11 1833–1874.
  • Zwingmann, T. and Holzmann, H. (2016). Asymptotics for the expected shortfall. arXiv preprint, arXiv:1611.07222.

See also

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