标题： 可辨识性与回溯测试：对银行业监管的视角 显示英文标题

标题： Elicitability and backtesting: Perspectives for banking regulation

摘要： 条件风险度量预测在金融机构的内部风险管理以及监管资本计算中起着重要作用。 为了评估风险度量程序的预测性能，将风险度量预测与一段时间内的实际金融损失进行比较，并进行程序正确性的统计检验。 这个过程被称为回测。 这种传统的回测关注于评估一组风险度量估计的一些最优性属性。 然而，它们不适合比较不同的风险估计程序。 我们研究了比较回测的建议，这些回测更适合基于预测准确性的方法比较，但需要一个可引出的风险度量。 我们认为，在传统回测中补充比较回测将通过为风险度量预测的准确性提供正确的激励来增强现有的银行交易簿监管框架。 此外，比较回测框架可以由银行内部以及研究人员使用，以指导预测方法的选择。 讨论集中在三种风险度量上， 风险价值、预期损失和期望值，并得到了模拟研究和数据分析的支持。 显示英文摘要

摘要： Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting performance of a risk measurement procedure, risk measure forecasts are compared to the realized financial losses over a period of time and a statistical test of correctness of the procedure is conducted. This process is known as backtesting. Such traditional backtests are concerned with assessing some optimality property of a set of risk measure estimates. However, they are not suited to compare different risk estimation procedures. We investigate the proposal of comparative backtests, which are better suited for method comparisons on the basis of forecasting accuracy, but necessitate an elicitable risk measure. We argue that supplementing traditional backtests with comparative backtests will enhance the existing trading book regulatory framework for banks by providing the correct incentive for accuracy of risk measure forecasts. In addition, the comparative backtesting framework could be used by banks internally as well as by researchers to guide selection of forecasting methods. The discussion focuses on three risk measures, Value-at-Risk, expected shortfall and expectiles, and is supported by a simulation study and data analysis.