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Quantitative Finance > Statistical Finance

Title: Elicitability and identifiability of tail risk measures

Abstract: Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk and Expected Shortfall being prime examples. They are induced by law-based risk measures, called their generators, evaluated on the tail distribution. This paper establishes joint identifiability and elicitability results of tail risk measures together with the corresponding quantile, provided that their generators are identifiable and elicitable, respectively. As an example, we establish the joint identifiability and elicitability of the tail expectile together with the quantile. The corresponding consistent scores constitute a novel class of weighted scores, nesting the known class of scores of Fissler and Ziegel for the Expected Shortfall together with the quantile. For statistical purposes, our results pave the way to easier model fitting for tail risk measures via regression and the generalized method of moments, but also model comparison and model validation in terms of established backtesting procedures.
Comments: 31 pages
Subjects: Statistical Finance (q-fin.ST); Statistics Theory (math.ST); Risk Management (q-fin.RM); Methodology (stat.ME)
MSC classes: 91G70, 62F07, 62G32, 62P05
Cite as: arXiv:2404.14136 [q-fin.ST]
  (or arXiv:2404.14136v1 [q-fin.ST] for this version)

Submission history

From: Tobias Fissler [view email]
[v1] Mon, 22 Apr 2024 12:40:18 GMT (25kb)

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