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Elicitability and identifiability of set-valued measures of systemic risk

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  • Tobias Fissler

    (Vienna University of Economics and Business (WU))

  • Jana Hlavinová

    (Vienna University of Economics and Business (WU))

  • Birgit Rudloff

    (Vienna University of Economics and Business (WU))

Abstract

Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits a strict identification function (strictly consistent scoring function). We consider measures of systemic risk introduced in Feinstein et al. (SIAM J. Financial Math. 8:672–708, 2017). Since these are set-valued, we work within the theoretical framework of Fissler et al. (preprint, available online at arXiv:1910.07912v2 , 2020) for forecast evaluation of set-valued functionals. We construct oriented selective identification functions, which induce a mixture representation of (strictly) consistent scoring functions. Their applicability is demonstrated with a comprehensive simulation study.

Suggested Citation

  • Tobias Fissler & Jana Hlavinová & Birgit Rudloff, 2021. "Elicitability and identifiability of set-valued measures of systemic risk," Finance and Stochastics, Springer, vol. 25(1), pages 133-165, January.
    • Handle: RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z
    DOI: 10.1007/s00780-020-00446-z
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    More about this item

    Keywords

    Consistent scoring functions; Diebold–Mariano tests; Forecast evaluation; M $M$ -estimation; Murphy diagrams;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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