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December 2017 Discussion of “Elicitability and backtesting: Perspectives for banking regulation”
Marie Kratz
Ann. Appl. Stat. 11(4): 1894-1900 (December 2017). DOI: 10.1214/17-AOAS1041E


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.


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Marie Kratz. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Ann. Appl. Stat. 11 (4) 1894 - 1900, December 2017.


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

zbMATH: 1383.62245
MathSciNet: MR3743281
Digital Object Identifier: 10.1214/17-AOAS1041E

Keywords: Regulation , risk measure , scoring function

Rights: Copyright © 2017 Institute of Mathematical Statistics

Vol.11 • No. 4 • December 2017
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