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Paper / 2024SMQ / 80831615250289
Elicitability and identifiability of tail risk measures
Fangda Liu / Linxiao Wei / Ruodu Wang / Tobias Fissler
tail riskResource overview

Elicitability and identifiability of tail risk measures

Paper2024

by Fangda Liu, Linxiao Wei, Ruodu Wang, Tobias Fissler

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tail risk

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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