Sökning: "Elicitability"

Hittade 1 uppsats innehållade ordet Elicitability.

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

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lisa Wimmerstedt; [2015]
    Nyckelord :Expected Shortfall; Backtests; Value-at-Risk; Elicitability;

    Sammanfattning : 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. LÄS MER