Elicitability and identifiability of set-valued measures of systemic risk |
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| Authors: | Fissler Tobias Hlavinová Jana Rudloff Birgit |
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| Institution: | 1.Institute for Statistics and Mathematics, Vienna University of Economics and Business (WU), Welthandelsplatz 1, 1020, Vienna, Austria
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| Abstract: | Finance and Stochastics - Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g.... |
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