By Simona Roccioletti
In this publication Simona Roccioletti experiences numerous invaluable experiences approximately hazard measures and their houses; particularly she reviews the hot (and seriously mentioned) estate of "Elicitability" of a hazard degree. extra vital, she investigates the problem concerning the backtesting of anticipated Shortfall. the most contribution of the paintings is the applying of "Test 1" and "Test 2" constructed by means of Acerbi and Szekely (2014) on assorted versions and for 5 international industry indexes.
Read or Download Backtesting Value at Risk and Expected Shortfall PDF
Similar economic theory books
Heterodox Macroeconomics deals an in depth realizing of the principles of the new international monetary problem. The chapters, from a variety of top lecturers within the box of heterodox macroeconomics, perform a synthesis of heterodox principles that position monetary instability, macroeconomic quandary, emerging worldwide inequality and a take hold of of the perverse and pernicious features of worldwide and family macroeconomic coverage making because 1980 right into a coherent viewpoint.
Dieses Arbeitsbuch erg? nzt perfekt das Lehrbuch Fahrmeir/K? nstler/Pigeot/Tutz: Statistik - Der Weg zur Datenanalyse. Es enth? lt die L? sungen zu den dort gestellten Aufgaben. Dar? ber hinaus bietet es eine Reihe weiterer Aufgaben inklusive L? sungen und machine? bungen mit realen Daten. Es dient damit der Vertiefung und der Ein?
A macroeconomic disequilibrium version is built for the Federal Republic of Germany. beginning with a microeconomic version of firm's behaviour, the optimum dynamic adjustment of employment and funding is derived. The version of the enterprise is complemented through an explicite aggregation technique which permits to derive macroeconomic relatives.
This specific quantity combines chapters containing a multidisciplinary educational research of the reasons of the continuing lifestyles of up to date kinds of slavery, resembling globalization, poverty and migration with empirical chapters on trafficking, household migrant employees, bonded labour and baby labour in Asia, Latin the US and Africa.
- Macroeconomic Analysis of Monetary Unions: A General Framework Based on the Mundell-Fleming Model
- Theory and Measurement: Causality Issues in Milton Friedman's Monetary Economics (Historical Perspectives on Modern Economics)
- Macroeconomic Policy: Demystifying Monetary and Fiscal Policy
- Critical Realism in Economics: Development and Debate (Economics As Social Theory)
- Estimation of Simultaneous Equation Models with Error Components Structure
Additional resources for Backtesting Value at Risk and Expected Shortfall
2. not preclude them from working at one of their fundamental business, namely trading risk. Hence, there exists a sort of trade oﬀ regulators need to assess; the basic ingredients they necessitate are: a risk measurement method, a backtesting procedure and multiplications factors (based on the outcome of the backtesting procedure). We have already evaluated the pros and cons of VaR and ES as two potential risk measurement methods, and we know that VaR is still preferred by many experts, due to its perceived superior performance in case of backtesting.
VaR and ES forecasts belong to the second group. Recently, Gneiting  has questioned the possibility of directly backtesting ES, as a result of the fact it is not elicitable. Undoubtedly, we can aﬃrm that elicitability provides a natural methodology to perform backtesting. However, this does not necessarily mean that a non-elicitable functional cannot be backtested. Bellini and Bignozzi  state that, if we want to provide an incentive to an expected score minimizer forecaster to give an accurate assessment of a statistical functional, and if the functional at issue is elicitable, then the forecaster is induced to report a correct forecast by means of the expected score.
If a functional is elicitable, then its level sets are convex in the following sense : if F0 ∈ F, F1 ∈ F and ρ ∈ (0, 1) are such that Fρ = (1 − ρ)F0 + ρF1 ∈ F, then t ∈ T (F0 ) and t ∈ T (F1 ) imply t ∈ T (Fρ ). This result allow us to easily understand that, for example, the sum of two quantiles, not having convex level sets, is not an elicitable functional. 2 Elicitability of VaR We have pointed out that a functional is said to be elicitable, if there exists a scoring function strictly consistent for it.