Elicitability and Identifiability of Systemic Risk Measures

v1v2 (latest)

Elicitability and Identifiability of Systemic Risk Measures

2 July 2019

Jana Hlavinová

ArXiv (abs)PDF HTML

Papers citing "Elicitability and Identifiability of Systemic Risk Measures"

12 / 12 papers shown

Title
Optimal solutions to the isotonic regression problem Alexander I. Jordan A. Muhlemann J. Ziegel 50 13 0 09 Apr 2019
Evaluating Range Value at Risk Forecasts Tobias Fissler J. Ziegel 34 2 0 12 Feb 2019
Supplement to "Erratum: Higher Order Elicitability and Osband's Principle" Tobias Fissler J. Ziegel 42 7 0 25 Jan 2019
Order-Sensitivity and Equivariance of Scoring Functions Tobias Fissler J. Ziegel 36 28 0 27 Nov 2017
A Joint Quantile and Expected Shortfall Regression Framework Timo Dimitriadis Sebastian Bayer 46 52 0 07 Apr 2017
Cross-calibration of probabilistic forecasts Christof Strahl J. Ziegel 40 27 0 20 May 2015
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings W. Ehm T. Gneiting Alexander I. Jordan Fabian Kruger AI4TS 72 166 0 27 Mar 2015
Higher order elicitability and Osband's principle Tobias Fissler J. Ziegel 59 328 0 27 Mar 2015
Coherence and elicitability J. Ziegel 84 335 0 07 Mar 2013
Comparative and qualitative robustness for law-invariant risk measures Volker Krätschmer A. Schied Henryk Zähle 84 153 0 11 Apr 2012
Combining Predictive Distributions T. Gneiting Roopesh Ranjan 84 224 0 08 Jun 2011
Making and Evaluating Point Forecasts T. Gneiting 119 1,055 0 04 Dec 2009