Murphy diagrams: forecast evaluation of expected shortfall
Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, whic...
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| Hauptverfasser: | , , |
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| Dokumenttyp: | Book/Monograph Arbeitspapier |
| Sprache: | Englisch |
| Veröffentlicht: |
Heidelberg
University of Heidelberg, Department of Economics
May 12, 2017
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| Schriftenreihe: | Discussion paper series / University of Heidelberg, Department of Economics
no. 632 |
| In: |
Discussion paper series (no. 632)
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| DOI: | 10.11588/heidok.00022950 |
| Schlagworte: | |
| Online-Zugang: | Resolving-System, kostenfrei, Volltext: http://dx.doi.org/10.11588/heidok.00022950 Resolving-System, kostenfrei, Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-229502 Resolving-System, kostenfrei, Volltext: https://doi.org/10.11588/heidok.00022950 Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/162975 Verlag, kostenfrei, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/22950/ Verlag, kostenfrei, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/22906/1/bell_hattlebakk_2017_dp631.pdf 
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| Verfasserangaben: | Johanna F. Ziegel; Fabian Krueger; Alexander Jordan; Fernando Fasciati |
| Zusammenfassung: | Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function awkward in practice. We therefore develop graphical checks (Murphy diagrams) of whether one forecast method dominates another under a relevant class of scoring functions, and propose an associated hypothesis test. We illustrate these tools with simulation examples and an empirical analysis of S&P 500 and DAX returns. |
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| Beschreibung: | Online Resource |
| DOI: | 10.11588/heidok.00022950 |