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

Holzmann, Hajo; Klar, Bernhard 1
1 Institut für Stochastik (STOCH), Karlsruher Institut für Technologie (KIT)

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.

DOI: 10.1214/17-AOAS1041A
Zitationen: 2
Web of Science
Zitationen: 2
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Zeitschriftenaufsatz
Publikationsmonat/-jahr 12.2017
Sprache Englisch
Identifikator ISSN: 1932-6157
KITopen-ID: 1000134021
Erschienen in The annals of applied statistics
Verlag Institute of Mathematical Statistics (IMS)
Band 11
Heft 4
Seiten 1875-1882
Nachgewiesen in Scopus
Web of Science
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