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利用多目标可诱导性回测系统性风险预测AI 解读

Systemic risk measures such as CoVaR, CoES, and MES are widely-used in finance, macroeconomics and by regulatory bodies. Despite their importance, we show that they fail to be elicitable and identifiable. This renders forecast comparison and validation, commonly summarized as “backtesting,” impossible. The novel notion of multi-objective elicitability solves this problem by relying on bivariate scores equipped with the lexicographic order. Based on this concept, we propose…

高阶可引出性与 Osband 原理AI 解读

A statistical functional, such as the mean or the median, is called elicitable if there is a scoring function or loss function such that the correct forecast of the functional is the unique minimizer of the expected score. Such scoring functions are called strictly consistent for the functional. The elicitability of a functional opens the possibility to compare competing forecasts and to rank them in terms of their realized scores. In this paper, we explore the notion of…