The Annals of Applied Statistics

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

Marie Kratz

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The discussion focuses on four points in the context of Basel 3. The first concerns the choice of test functions in the calibration tests. Then we discuss the interpretation of the “internal model,” as well as the choice of risk measures. Last, we consider the score difference stationarity, an important issue in practice.

Article information

Ann. Appl. Stat., Volume 11, Number 4 (2017), 1894-1900.

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

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Regulation risk measure scoring function


Kratz, Marie. Discussion of “Elicitability and backtesting: Perspectives for banking regulation”. Ann. Appl. Stat. 11 (2017), no. 4, 1894--1900. doi:10.1214/17-AOAS1041E.

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See also

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