Elicitable Risk Measures

By Fabio Bellini, Valeria Bignozzi. 2014

98 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c56018d80558e20e716ab7c37e4adfa837b8ad77

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Management Science and Operations Research

Citations in the corpus

Higher order elicitability and Osband’s principle (2015, background): “le (Ziegel, 2015); further recent results on elicitable risk measures include (Kou and Peng, 2014; Wang and Ziegel, 2015) showing that distortion risk measures are rarely elicitable and (Weber, 2006; Bellini and Bignozzi, 2014; Delbaen et al., 2014) demonstrating that convex risk measures are only e”
Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings (2015, background): “Recently, expectiles have been proposed as potential candidates, as it has been proved that expectiles at level α 1 2 are the only elicitable law invariant coherent risk measures (Ziegel, 2014; Bellini and Bignozzi, 2015; Delbaen et al., 2015). See McNeil et al. (2015), for a recent treatment of the”
Risk management with expectiles (2017, unknown): “Moreover, it has been shown in several papers, albeit starting from different angles, that EVaRq with q ≤ 12 is the only coherent risk measure that is also elicitable (see Weber 2006; Ben Tal and Teboulle 2007; Bellini and Bignozzi 2013; Bellini et al. 2014; Delbaen et al. 2014; Ziegel 2014).”
An Academic Response to Basel 3.5 (2014, background): “In Bellini and Bignozzi (2013) it is shown that, under a standard technical condition, the only elicitable and coherent risk measures are the expectiles.”
Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall (2016, background): “Gneiting (2011) showed that ES is not an elicitable risk measure, whereas VaR is; see also Bellini & Bignozzi (2015) and Ziegel (2016) on this subject.”
Elicitability and backtesting: Perspectives for banking regulation (2016, methodology): “103–108] has devised a three-zone approach based on a binomial test for the number of exceedances over the VaR threshold. Traditional backtests are concerned with assessing an optimality property of a set of risk measure estimates; for details see Section 2.2. They are not suited to compare differen”