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Journal articles (2017), Annals of Applied Statistics, 11 (4), pp. 1894-1900

Discussion on the Paper: Elicitability and Backtesting: Perspectives for Banking Regulation

The discussion focuses on four points in the context of Basel 3. The first concerns the choice of test functions in the calibration tests. Then we discuss the interpretation of the “internal model,” as well as the choice of risk measures. Last, we consider the score difference stationarity, an important issue in practice. Link to the article

KRATZ, M. (2017). Discussion on the Paper: Elicitability and Backtesting: Perspectives for Banking Regulation. Annals of Applied Statistics, 11(4), pp. 1894-1900.

Keywords : #Backtesting, #Forecasting, #Risk-management, #Scoring-rule