Essays about: "Elicitability"
Found 1 essay containing the word Elicitability.
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1. Backtesting Expected Shortfall: the design and implementation of different backtests
University essay from KTH/Matematisk statistikAbstract : In recent years, the question of whether Expected Shortfall is possible to backtest has been a hot topic after the findings of Gneiting in 2011 that Expected Shortfall lacks a mathematical property called elicitability. However, new research has indicated that backtesting of Expected Shortfall is in fact possible and that it does not have to be very difficult. READ MORE
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