Tobias Fissler
Biographic Data
| ID | 8920457 |
|---|---|
| NAME | Tobias Fissler |
| GIVEN NAMES | Tobias |
| FAMILY NAME | Fissler |
| SIGNATURE | FISSLER T |
| AFFILIATIONS | RiskLab, ETH Zurich |
| ORCID | 0000-0002-6541-7347 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 2 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2024 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
How to Compare Copula Forecasts
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
Systemic risk measures such as CoVaR, CoES, and MES are widely-used in finance, macroeconomics and by regulatory bodies. Despite their importance, we show that they fail to be elicitable and identifiable. This renders forecast comparison and validation, commonly summarized as “backtesting,” impossible. The novel notion of multi-objective elicitability solves this problem by relying on bivariate scores equipped with the lexicographic order. Based …
No prominent works on this page.
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
Systemic risk measures such as CoVaR, CoES, and MES are widely-used in finance, macroeconomics and by regulatory bodies. Despite their importance, we show that they fail to be elicitable and identifiable. This renders forecast comparison and validation, commonly summarized as “backtesting,” impossible. The novel notion of multi-objective elicitability solves this problem by relying on bivariate scores equipped with the lexicographic order. Based …
How to Compare Copula Forecasts
Financial Risk and Volatility Modeling (2 works) · Actuarial science (1 works) · Computer Science (1 works) · Econometrics (1 works) · Economics (1 works) · Finance (1 works) · Financial crisis (1 works) · Lexicographical order (1 works) · Macroeconomics (1 works) · Market Dynamics and Volatility (1 works)