The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.
COHERENCE AND ELICITABILITY
Open accessAbstract
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 compare competing estimation procedures. In statistical decision theory, risk measures for which such verification and comparison is possible, are called elicitable. It is known that quantile‐based risk measures such as value at risk are elicitable. In this paper, the existing result of the nonelicitability of expected shortfall is extended to all law‐invariant spectral risk measures unless they reduce to minus the expected value. Hence, it is unclear how to perform forecast verification or comparison. However, the class of elicitable law‐invariant coherent risk measures does not reduce to minus the expected value. We show that it consists of certain expectiles.
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On the coherence of expected shortfall
Acerbi, C., & Tasche, D. (2002) · Journal of Banking & Finance · doi:10.1016/s0378-4266(02)00283-2 · Cited by 1,584
Evaluating Density Forecasts with Applications to Financial Risk Management
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Making and Evaluating Point Forecasts
Gneiting, T. (2011) · Journal of the American Statistical Association · doi:10.1198/jasa.2011.r10138 · Cited by 1,154
Asymmetric Least Squares Estimation and Testing
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Metadata
- Authors
- Ziegel, J. F.
- Venue
- Mathematical Finance
- Publisher
- Wiley
- Published
- 2014-09-03
- Volume
- 26
- Issue
- 4
- Pages
- 901-918
- ISSN
- 0960-1627 (ISSN-L)
- 1467-9965
- OpenAlex
- W2103590647
- Cited by
- 353
- References
- 22
- FWCI
- 35.73
- Type
- journal article
- Language
- en
- Open access
- bronze
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