Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
Bibliographic Data
| ID | 19418458 |
|---|---|
| Authors | Tobias Fissler (0000-0002-6541-7347, Department of Finance, Accounting and Statistics, Vienna University of Economics and Business (WU), Vienna, Austria), Yannick Hoga (0000-0002-6332-5561, University of Duisburg-Essen, corresponding author) |
| Year | 2024 |
| Volume | 42 |
| Issue | 2 |
| Pages | 485-498 |
| Publication date | 2024-04-02 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2023.2200514 |
| OpenAlex | W3155606525 |
| Language | EN |
| Citations received | 4 |
| References cited | 38 |
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 on this concept, we propose Diebold–Mariano type tests with suitable bivariate scores to compare systemic risk forecasts. We illustrate the test decisions by an easy-to-apply traffic-light approach. Finally, we apply our traffic-light approach to DAX 30 and S&P 500 returns, and infer some recommendations for regulators
Actuarial science · Econometrics · Economics · Financial crisis · Lexicographical order · Macroeconomics · Systemic risk · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Finance
Asymptotic theory for econometricians
Measuring Systemic Risk
Coherent Measures of Risk
Tests of Conditional Predictive Ability
CoVaR
Vulnerable Growth
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
Time-Varying Systemic Risk
Comparing Possibly Misspecified Forecasts
Conditional Extremes in Asymmetric Financial Markets
Confidence Intervals for Conditional Tail Risk Measures in Arma–GARCH Models
The European Sovereign Debt Crisis
| Unique citing works | 4 |
|---|---|
| Citations per year | 2 |
| Citation span | 2024 - 2026 (3) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 3 |