Robust Forecast Evaluation of Expected Shortfall

Ziegel, Johanna F.; Krüger, Fabian; Jordan, Alexander Inigo; Fasciati, Fernando (2019). Robust Forecast Evaluation of Expected Shortfall. Journal of financial econometrics, 18(1), pp. 95-120. Oxford University Press 10.1093/jjfinec/nby035

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Motivated by the Basel III regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function awkward in practice. We therefore develop graphical checks of whether one forecast method dominates another under a relevant class of scoring functions, and propose an associated hypothesis test. We illustrate these tools with simulation examples and an empirical analysis of S&P 500 and DAX returns.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Ziegel, Johanna F. and Jordan, Alexander Inigo

Subjects:

300 Social sciences, sociology & anthropology > 330 Economics
500 Science > 510 Mathematics

ISSN:

1479-8409

Publisher:

Oxford University Press

Language:

English

Submitter:

Johanna Fasciati-Ziegel

Date Deposited:

20 Mar 2019 17:05

Last Modified:

19 Jan 2020 02:35

Publisher DOI:

10.1093/jjfinec/nby035

BORIS DOI:

10.7892/boris.126146

URI:

https://boris.unibe.ch/id/eprint/126146

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