Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162975
Authors: 
Ziegel, Johanna F.
Krüger, Fabian
Jordan, Alexander
Fasciati, Fernando
Year of Publication: 
2017
Series/Report no.: 
Discussion Paper Series, University of Heidelberg, Department of Economics 632
Abstract: 
Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function awkward in practice. We therefore develop graphical checks (Murphy diagrams) of whether one forecast method dominates another under a relevant class of scoring functions, and propose an associated hypothesis test. We illustrate these tools with simulation examples and an empirical analysis of S&P 500 and DAX returns.
Subjects: 
Forecasting
Expected Shortfall
JEL: 
C52
C53
G17
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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