Related papers: Murphy Diagrams: Forecast Evaluation of Expected S…
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk…
In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional, such as the mean or a quantile of the predictive distribution. When evaluating and comparing competing…
Probability forecasts of events are routinely used in climate predictions, in forecasting default probabilities on bank loans or in estimating the probability of a patient's positive response to treatment. Scoring rules have long been used…
We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for…
A user-focused verification approach for evaluating probability forecasts of binary outcomes (also known as probabilistic classifiers) is demonstrated that is (i) based on proper scoring rules, (ii) focuses on user decision thresholds, and…
Probability forecasts for binary outcomes, often referred to as probabilistic classifiers or confidence scores, are ubiquitous in science and society, and methods for evaluating and comparing them are in great demand. We propose and study a…
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up…
Forecast evaluations aim to choose an accurate forecast for making decisions by using loss functions. However, different loss functions often generate different ranking results for forecasts, which complicates the task of comparisons. In…
To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk measures such as Value-at-Risk (VaR) and Expected Shortfall…
We consider a multi-step algorithm for the computation of the historical expected shortfall such as defined by the Basel Minimum Capital Requirements for Market Risk. At each step of the algorithm, we use Monte Carlo simulations to reduce…
The classical paradigm of scoring rules is to discriminate between two different forecasts by comparing them with observations. The probability distribution of the observed record is assumed to be perfect as a verification benchmark. In…
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…
Typically, point forecasting methods are compared and assessed by means of an error measure or scoring function, such as the absolute error or the squared error. The individual scores are then averaged over forecast cases, to result in a…
Multivariate probabilistic time series forecasts are commonly evaluated via proper scoring rules, i.e., functions that are minimal in expectation for the ground-truth distribution. However, this property is not sufficient to guarantee good…
Clinical time-series forecasting is increasingly studied for decision support, yet standard aggregate metrics can obscure whether a model is actually useful for the task it is meant to serve. In safety-critical settings, low average error…
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…
Probabilistic forecasts in the form of probability distributions over future events have become popular in several fields including meteorology, hydrology, economics, and demography. In typical applications, many alternative statistical…
Recent studies have analyzed whether one forecast method dominates another under a class of consistent scoring functions. While the existing literature focuses on empirical tests of forecast dominance, little is known about the theoretical…
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including…
Comparative evaluation of forecasts of statistical functionals relies on comparing averaged losses of competing forecasts after the realization of the quantity $Y$, on which the functional is based, has been observed. Motivated by…