Lunedì 08 febbraio 2015 ore 16.00
Aula seminari, edificio U7, 4° piano, stanza 4026
Via Bicocca degli Arcimboldi, 8 – 20126 Milano
“How is elicitability relevant for backtesting?”
Prof.ssa Johanna Ziegel
University of Bern
Independently, Weber  and Gneiting  have shown that Expected Shortfall (ES) is not elicitable in contrast to Value at Risk (VaR). Roughly, elicitability of a risk measure means that it can be obtained as the minimizer of an expected loss function. This negative result continues to hold for all spectral risk measures (except for the mean) and the only coherent risk measures that are elicitable are certain expectiles. However, we were able to show recently that ES is jointly elicitable with VaR, and, more generally, a large class of spectral risk measures is elicitable of higher order [Fissler and Ziegel, 2016].
There is little debate that elicitability is a useful property for model selection, estimation, generalized regression, forecast comparison, and forecast ranking. But the non-elicitability of ES has lead to a lively debate about the relevance of elicitability for backtesting [Acerbi and Szekely, 2014, Davis, 2016, Emmer et al., 2015].
Contributing to this discussion, we would like to clarify that elicitability is not important for the traditional approach to backtesting. However, we argue that elicitability is crucial to achieve the objectives of backtesting [Fissler et al., 2015].
We illustrate the proposed approach for VaR and ES jointly and for VaR alone.
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