DISCUSSION OF "ELICITABILITY AND BACKTESTING: PERSPECTIVES FOR BANKING REGULATION"

Schmidt, P

Schmidt, P (reprint author), HITS GGMBH, Schloss Wolfsbrunnenweg 35, D-69118 Heidelberg, Germany.

ANNALS OF APPLIED STATISTICS, 2017; 11 (4): 1883

Abstract

I discuss the incentive compatibility of comparative and calibration backtesting for banking regulation. In stylized models of risk reporting, calibra......

Full Text Link