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December 2017 Discussion of “Elicitability and backtesting: Perspectives for banking regulation”
Hajo Holzmann, Bernhard Klar
Ann. Appl. Stat. 11(4): 1875-1882 (December 2017). DOI: 10.1214/17-AOAS1041A

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.

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Hajo Holzmann. Bernhard Klar. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Ann. Appl. Stat. 11 (4) 1875 - 1882, December 2017. https://doi.org/10.1214/17-AOAS1041A

Information

Received: 1 May 2017; Revised: 1 May 2017; Published: December 2017
First available in Project Euclid: 28 December 2017

zbMATH: 1383.62242
MathSciNet: MR3743277
Digital Object Identifier: 10.1214/17-AOAS1041A

Rights: Copyright © 2017 Institute of Mathematical Statistics

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Vol.11 • No. 4 • December 2017
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