The Annals of Applied Statistics

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

Marie Kratz

Full-text: Access denied (no subscription detected)

We're sorry, but we are unable to provide you with the full text of this article because we are not able to identify you as a subscriber. If you have a personal subscription to this journal, then please login. If you are already logged in, then you may need to update your profile to register your subscription. Read more about accessing full-text

Abstract

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

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

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/1514430270

Digital Object Identifier
doi:10.1214/17-AOAS1041E

Keywords
Regulation risk measure scoring function

Citation

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. https://projecteuclid.org/euclid.aoas/1514430270


Export citation

References

  • Acerbi, C. and Székely, B. (2014). Backtesting expected shortfall. Risk Mag. December 76–81.
  • Acerbi, C. and Tasche, D. (2002). On the coherence of expected shortfall. J. Bank. Financ. 26 1487–1503.
  • Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D. (1999). Coherent measures of risk. Math. Finance 9 203–228.
  • Basel Committee on Banking Supervision (2016). Minimum capital requirements for market risk. Bank of International Settlements.
  • Bellini, F., Klar, B., Müller, A. and Gianin, E. R. (2014). Generalized quantiles as risk measures. Insurance Math. Econom. 54 41–48.
  • Campbell, S. D. (2006). A review of backtesting and backtesting procedures. J. Risk 9 1–17.
  • Chen, J. M. (2013). Measuring market risk under Basel II, 2.5, and III: VAR, stressed VAR, and expected shortfall. Available at SSRN: http://ssrn.com/abstract=2252463.
  • Christoffersen, P. (2003). Elements of Financial Risk Management. Academic Press, New York.
  • Christoffersen, P. and Pelletier, D. (2004). Backtesting Value-at-Risk: A duration-based approach. J. Financ. Econom. 2 84–108.
  • Costanzino, N. and Curran, M. (2015). Backtesting general spectral risk measures with application to expected shortfall. J. Risk Model Validation 9 21–33.
  • Costanzino, N. and Curran, M. (2016). A simple traffic light approach to backtesting expected shortfall. Working paper.
  • Diebold, F. X. and Mariano, R. S. (1995). Comparing predictive accuracy. J. Bus. Econom. Statist. 13 253–263.
  • Emmer, S., Kratz, M. and Tasche, D. (2015). What is the best risk measure in practice? A comparison of standard risk measures. J. Risk 18 31–60.
  • Fissler, T. and Ziegel, J. F. (2016). Higher order elicitability and Osband’s principle. Ann. Statist. 44 1680–1707.
  • Gneiting, T. (2011). Making and evaluating point forecasts. J. Amer. Statist. Assoc. 106 746–762.
  • Kratz, M., Lok, Y. and McNeil, A. (2016a). A multinomial test to discriminate between models. In ASTIN 2016 Proceedings. Available online.
  • Kratz, M., Lok, Y. and McNeil, A. (2016b). Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. ESSEC Working Paper 1617, arXiv1611.04851v1.
  • Nolde, N. and Ziegel, J. F. (2017). Elicitability and backtesting: Perspectives for banking regulation. Ann. Appl. Stat. 11 1833–1874.
  • Tasche, D. (2002). Expected shortfall and beyond. In Statistical Data Analysis Based on the $L_{1}$-Norm and Related Methods (Neuchâtel, 2002) 109–123. Birkhäuser, Basel.
  • Ziegel, J. F. (2016). Coherence and elicitability. Math. Finance 26 901–918.

See also

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