The Annals of Applied Statistics
- Ann. Appl. Stat.
- Volume 11, Number 4 (2017), 1875-1882.
Discussion of “Elicitability and backtesting: Perspectives for banking regulation”
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.
Ann. Appl. Stat., Volume 11, Number 4 (2017), 1875-1882.
Received: May 2017
Revised: May 2017
First available in Project Euclid: 28 December 2017
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Holzmann, Hajo; Klar, Bernhard. Discussion of “Elicitability and backtesting: Perspectives for banking regulation”. Ann. Appl. Stat. 11 (2017), no. 4, 1875--1882. doi:10.1214/17-AOAS1041A. https://projecteuclid.org/euclid.aoas/1514430266
- Main article: Elicitability and backtesting: Perspectives for banking regulation.