Montag, 21. Juni 2021, 16:45 - 17:45 iCal

ISOR Colloquium

"Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability"

Speaker: Tobias Fissler (Vienna University of Economics and Business)

Institut für Statistik und Operations Research
Oskar-Morgenstern-Platz 1, 1090 Wien


Backtesting risk measure forecasts requires identifiability (for model calibration and validation) and elicitability (for model comparison). We show that the three widely-used systemic risk measures conditional value-at-risk (CoVaR), conditional expected shortfall (CoES) and marginal expected shortfall (MES), which measure the risk of a position Y given that a reference position X is in distress, fail to be identifiable and elicitable on their own. As a remedy, we establish the joint identifiability of CoVaR, MES and (CoVaR, CoES) together with the value-at-risk (VaR) of the reference position X. While this resembles the situation of the classical risk measures expected shortfall (ES) and VaR concerning identifiability, a joint elicitability result fails. Therefore, we introduce a completely novel notion of multivariate scoring functions equipped with some order, which are therefore called multi-objective scores. We introduce and investigate corresponding notions of multi-objective elicitability, which may prove beneficial in various applications beyond finance. In particular, we prove that conditional elicitability of two functionals implies joint multi-objective elicitability with respect to the lexicographic order on the two-dimensional Euclidean space, which makes it applicable in the context of CoVaR, MES or (CoVaR, CoES), together with VaR. We describe corresponding comparative backtests of Diebold-Mariano type, for two-sided and 'one and a half'-sided hypotheses, which respect the particularities of the lexicographic order and which can be used in a regulatory setting. We demonstrate the viability of these backtesting approaches in simulations and in an empirical application to DAX 30 and S&P 500 returns.

The talk is based on the preprint which is joint work with Yannick Hoga.


To participate please join our ZOOM MEETING:

Meeting room opens at: June 21, 2021 4.30 pm Vienna

Meeting ID: 954 2938 8672

Password: 300751

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631