arXiv 20 Apr 2021 · Finance — Risk Management · publishedJournal of Business and Economic Statistics (2023) · 26 citations (OpenAlex)
arXiv:2104.10673 · PDF · DOI · OpenAlex · Extracted main text
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 summarised as `backtesting', impossible. The novel notion of multi-objective elicitability solves this problem. Specifically, we propose Diebold--Mariano type tests utilising two-dimensional scores equipped with the lexicographic order. We illustrate the test decisions by an easy-to-apply traffic-light approach. We apply our traffic-light approach to DAX 30 and S&P 500 returns, and infer some recommendations for regulators.
appendix boundary found by appendix_titled_section at “Supplement” · 52% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bank for International Settlements (2019) Basel Framework | 0.928 | 4 | 3 | 100% |
| 2 | Adrian T, Brunnermeier MK (2016) CoVaR | 0.874 | 6 | 2 | 100% |
| 3 | Gneiting T (2011) Making and evaluating point forecasts | 0.843 | 4 | 3 | 75% |
| 4 | Nolde N, Ziegel JF (2017) Elicitability and backtesting: Perspectives for banking regulation | 0.830 | 7 | 5 | 57% |
| 5 | Fissler T, Ziegel JF (2016) Higher order elicitability and Osband's principle | 0.817 | 11 | 6 | 55% |
| 6 | Acharya VV, Pedersen LH, Philippon T, Richardson M (2017) Measuring systemic risk | 0.811 | 4 | 2 | 100% |
| 7 | Fissler T, Ziegel JF, Gneiting T (2016) Expected shortfall is jointly elicitable with value-at-risk: Implications for backtesting | 0.811 | 4 | 2 | 100% |
| 8 | Banulescu-Radu D, Hurlin C, Leymarie J, Scaillet O (2021) Backtesting marginal expected shortfall and related systemic risk measures | 0.754 | 14 | 5 | 43% |
| 9 | Creal D, Koopman SJ, Lucas A (2013) Generalized autoregressive score models with applications | 0.737 | 4 | 3 | 50% |
| 10 | Giacomini R, White H (2006) Tests of conditional predictive ability | 0.737 | 4 | 3 | 50% |
Showing the top 10 of 59 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.