In the present contribution, under weak technical assumptions on the elicitability scoring function S we fully characterize the class of convex and coherent risk measures that are elicitable with an accuracy rewarding scoring function. In particular, we answer the question posed by Ziegel (2013), showing that expectiles are indeed the only elicitable coherent risk measure.
On elicitable risk measures / Bellini, Fabio; Bignozzi, Valeria. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - STAMPA. - 15:5(2015), pp. 725-733. [10.1080/14697688.2014.946955]
On elicitable risk measures
BIGNOZZI, VALERIA
2015
Abstract
In the present contribution, under weak technical assumptions on the elicitability scoring function S we fully characterize the class of convex and coherent risk measures that are elicitable with an accuracy rewarding scoring function. In particular, we answer the question posed by Ziegel (2013), showing that expectiles are indeed the only elicitable coherent risk measure.File allegati a questo prodotto
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