Essays about: "Elicitability"

Found 1 essay containing the word Elicitability.

  1. 1. Backtesting Expected Shortfall: the design and implementation of different backtests

    University essay from KTH/Matematisk statistik

    Author : Lisa Wimmerstedt; [2015]
    Keywords : Expected Shortfall; Backtests; Value-at-Risk; Elicitability;

    Abstract : 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