# Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability

@inproceedings{Fissler2021BacktestingSR, title={Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability}, author={Tobias Fissler and Yannick Hoga}, year={2021} }

Backtesting risk measure forecasts requires identifiability (for model validation) and elicitability (for model comparison). The systemic risk measures CoVaR (conditional value-atrisk), CoES (conditional expected shortfall) and MES (marginal expected shortfall), measuring the risk of a position Y given that a reference positionX is in distress, fail to be identifiable and elicitable. We establish the joint identifiability of CoVaR, MES and (CoVaR, CoES) together with the value-at-risk (VaR) of… Expand

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