462 citations · 706 across the 37 of their papers we have counts for
7 papers · 1 filter
E-backtesting
Qiuqi Wang, Ruodu Wang, Johanna Ziegel
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most imp…
Murphy Diagrams: Forecast Evaluation of Expected Shortfall
Johanna F. Ziegel, Fabian Krüger, Alexander Jordan +1
Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to eva…
Elicitability and backtesting: Perspectives for banking regulation
Natalia Nolde, Johanna F. Ziegel
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to asses…
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
Tobias Fissler, Johanna F. Ziegel, Tilmann Gneiting
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can…
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi +1
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (200…
Distortion Risk Measures and Elicitability
Ruodu Wang, Johanna F. Ziegel
We discuss equivalent axiomatic characterizations of distortion risk measures, and give a novel and concise proof of the characterization of elicitable distortion risk measures. El…
Coherence and elicitability
Johanna F. Ziegel
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and co…