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December 2017 Discussion of “Elicitability and backtesting: Perspectives for banking regulation”
Patrick Schmidt
Ann. Appl. Stat. 11(4): 1883-1885 (December 2017). DOI: 10.1214/17-AOAS1041B

Abstract

I discuss the incentive compatibility of comparative and calibration backtesting for banking regulation. In stylized models of risk reporting, calibration backtesting leads to uninformed risk reports that adapt insufficiently to volatility changes. In contrast, comparative backtesting incentivizes information for richer and more accurate models.

Citation

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Patrick Schmidt. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Ann. Appl. Stat. 11 (4) 1883 - 1885, December 2017. https://doi.org/10.1214/17-AOAS1041B

Information

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

zbMATH: 1383.62252
MathSciNet: MR3743278
Digital Object Identifier: 10.1214/17-AOAS1041B

Rights: Copyright © 2017 Institute of Mathematical Statistics

Vol.11 • No. 4 • December 2017
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