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Articles de revues sur le sujet « Elicitabilità »

Auteur : Grafiati

Publié le 9 mars 2023

Mis à jour le 31 juillet 2025

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1

Ziegel, Johanna F. "COHERENCE AND ELICITABILITY." Mathematical Finance 26, no. 4 (2014): 901–18. http://dx.doi.org/10.1111/mafi.12080.

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He, Xue Dong, Steven Kou, and Xianhua Peng. "Risk Measures: Robustness, Elicitability, and Backtesting." Annual Review of Statistics and Its Application 9, no. 1 (2022): 141–66. http://dx.doi.org/10.1146/annurev-statistics-030718-105122.

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Risk measures are used not only for financial institutions’ internal risk management but also for external regulation (e.g., in the Basel Accord for calculating the regulatory capital requirements for financial institutions). Though fundamental in risk management, how to select a good risk measure is a controversial issue. We review the literature on risk measures, particularly on issues such as subadditivity, robustness, elicitability, and backtesting. We also aim to clarify some misconceptions and confusions in the literature. In particular, we argue that, despite lacking some mathematical c

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Fissler, Tobias, and Johanna F. Ziegel. "Higher order elicitability and Osband’s principle." Annals of Statistics 44, no. 4 (2016): 1680–707. http://dx.doi.org/10.1214/16-aos1439.

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Nolde, Natalia, and Johanna F. Ziegel. "Elicitability and backtesting: Perspectives for banking regulation." Annals of Applied Statistics 11, no. 4 (2017): 1833–74. http://dx.doi.org/10.1214/17-aoas1041.

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Nolde, Natalia, and Johanna F. Ziegel. "Rejoinder: “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (2017): 1901–11. http://dx.doi.org/10.1214/17-aoas1041f.

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Chen, James Ming. "Coherence Versus Elicitability in Measures of Market Risk." International Advances in Economic Research 20, no. 3 (2014): 355–56. http://dx.doi.org/10.1007/s11294-014-9480-1.

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Holzmann, Hajo, and Bernhard Klar. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (2017): 1875–82. http://dx.doi.org/10.1214/17-aoas1041a.

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Schmidt, Patrick. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (2017): 1883–85. http://dx.doi.org/10.1214/17-aoas1041b.

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Davis, Mark H. A. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (2017): 1886–87. http://dx.doi.org/10.1214/17-aoas1041c.

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Zhou, Chen. "Discussion on “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (2017): 1888–93. http://dx.doi.org/10.1214/17-aoas1041d.

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Kratz, Marie. "Discussion of “Elicitability and backtesting: Perspectives for banking regulation”." Annals of Applied Statistics 11, no. 4 (2017): 1894–900. http://dx.doi.org/10.1214/17-aoas1041e.

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Gadella, Maria C., Sebastiaan E. Dulfer, Anthony R. Absalom, et al. "Comparing Motor-Evoked Potential Characteristics of NEedle versus suRFACE Recording Electrodes during Spinal Cord Monitoring—The NERFACE Study Part I." Journal of Clinical Medicine 12, no. 4 (2023): 1404. http://dx.doi.org/10.3390/jcm12041404.

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Muscle-recorded transcranial electrical stimulation motor-evoked potentials (mTc-MEPs) are used to assess the spinal cord integrity. They are commonly recorded with subcutaneous needle or surface electrodes, but the different characteristics of mTc-MEP signals recorded with the two types of electrodes have not been formally compared yet. In this study, mTc-MEPs were simultaneously recorded from the tibialis anterior (TA) muscles using surface and subcutaneous needle electrodes in 242 consecutive patients. Elicitability, motor thresholds, amplitude, area under the curve (AUC), signal-to-noise r

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Heinke, Lars N., Axel J. Knicker, and Kirsten Albracht. "Increased shoulder muscle stretch reflex elicitability in supine subject posture." Isokinetics and Exercise Science 28, no. 2 (2020): 139–46. http://dx.doi.org/10.3233/ies-192219.

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Fissler, Tobias, Jana Hlavinová, and Birgit Rudloff. "Elicitability and identifiability of set-valued measures of systemic risk." Finance and Stochastics 25, no. 1 (2020): 133–65. http://dx.doi.org/10.1007/s00780-020-00446-z.

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AbstractIdentification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits a strict identification function (strictly consistent scoring function). We consider measures of systemic risk introduced in Feinstein et al. (SIAM J. Financial Math. 8:672–708, 2017). Since these are set-valued, we work within the theoretical framework of Fissler et al. (preprint, available online at arXiv:1910.07912v2, 2020) for forecast

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Strenge, H., and A. Gundel. "Intraindividual F wave amplitude variability and elicitability in normal subjects." Electroencephalography and Clinical Neurophysiology 61, no. 3 (1985): S63. http://dx.doi.org/10.1016/0013-4694(85)90265-2.

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Dearborn, Krisztina, and Rafael Frongillo. "On the indirect elicitability of the mode and modal interval." Annals of the Institute of Statistical Mathematics 72, no. 5 (2019): 1095–108. http://dx.doi.org/10.1007/s10463-019-00719-1.

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Minetto, Marco Alessandro, and Alberto Botter. "Elicitability of muscle cramps in different leg and foot muscles." Muscle & Nerve 40, no. 4 (2009): 535–44. http://dx.doi.org/10.1002/mus.21382.

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Owusu Junior, Peterson, Imhotep Paul Alagidede, and Aviral Kumar Tiwari. "On the Elicitability and Risk Model Comparison of Emerging Markets Equities." Mathematical and Computational Applications 26, no. 3 (2021): 63. http://dx.doi.org/10.3390/mca26030063.

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The need for comparative backtesting in the Basel III framework presents the challenge for ranking of internal value-at-risk (VaR) and expected shortfall (ES) models. We use a joint loss function to score the elicitable joint VaR and ES models to select competing tail risk models for the top 9 emerging markets equities and the emerging markets composite index. We achieve this with the model confidence set (MCS) procedure. Our analysis span two sub-sample periods representing turbulent (Eurozone and Global Financial crises periods) and tranquil (post-Global Financial crisis period) market condi

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19

Burzoni, M., I. Peri, and C. M. Ruffo. "On the properties of the Lambda value at risk: robustness, elicitability and consistency." Quantitative Finance 17, no. 11 (2017): 1735–43. http://dx.doi.org/10.1080/14697688.2017.1297535.

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Yamashita, Miwaka. "Risk Measure Examination for Large Losses." Mathematics 13, no. 12 (2025): 1974. https://doi.org/10.3390/math13121974.

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The risk measures such as value at risk, and conditional values at risk do not always account for the sensitivity of large losses with certainty, as large losses often break the homogeneity especially seen in an illiquidity risk. In this study, we examine the characteristics of large-loss sensitivity more holistically, including small probability, within the framework of risk measures. The analysis incorporates the certainty equivalent, generation of the optimal certainty equivalent formulation, divergence utility, and general utility functions in their original form, and their relationship wi

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Satar, B., C. Karaçaylı, V. K. Çoban, and S. Özdemir. "Effects of otosclerosis and stapedotomy on vestibular-evoked myogenic potentials." Journal of Laryngology & Otology 135, no. 12 (2021): 1114–18. http://dx.doi.org/10.1017/s002221512100284x.

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AbstractObjectiveLimited data are available on the effects of otosclerosis and otosclerosis surgery on the utricle and saccule. This study aimed to determine the effect of otosclerosis and stapedotomy on vestibular-evoked myogenic potentials.MethodsThis retrospective study included 16 otosclerosis patients and 18 controls. Thirty-two ears of 16 patients with otosclerosis were divided into 2 groups based on whether the ear had been operated on or not. All patients and subjects underwent 500 Hz air- and bone-conducted ocular and cervical vestibular-evoked myogenic potentials testing.ResultsOvera

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22

Liu, Fangda, and Ruodu Wang. "A Theory for Measures of Tail Risk." Mathematics of Operations Research 46, no. 3 (2021): 1109–28. http://dx.doi.org/10.1287/moor.2020.1072.

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The notion of “tail risk” has been a crucial consideration in modern risk management and financial regulation, as very well documented in the recent regulatory documents. To achieve a comprehensive understanding of the tail risk, we carry out an axiomatic study for risk measures that quantify the tail risk, that is, the behaviour of a risk beyond a certain quantile. Such risk measures are referred to as tail risk measures in this paper. The two popular classes of regulatory risk measures in banking and insurance, value at risk (VaR) and expected shortfall, are prominent, yet elementary, exampl

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23

Tomori, Z., V. Donic, and M. Kurpas. "Comparison of inspiratory effort in sniff-like aspiration reflex, gasping and normal breathing in cats." European Respiratory Journal 6, no. 1 (1993): 53–59. http://dx.doi.org/10.1183/09031936.93.06010053.

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The changes in airway occlusion pressure and airflow, occurring during two spasmodic breathing patterns, were studied and compared with normal breathing pattern in 12 anaesthetized cats. The inspiratory effort developed during the sniff-like aspiration reflex elicited by mechanical stimulation of the nasopharynx under control conditions proved to be very similar in character and intensity to the activity observed during gasping which occurred on resuscitation, of the same cats, from hypoxic apnoea. The starting (P50) and maximum (Pmax) airway occlusion pressure developed in these two spasmodic

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Richter, Karl, and Uwe Jürgens. "A comparative study on the elicitability of vocalization by electrical brain stimulation, glutamate, aspartate and quisqualate in the squirrel monkey." Neuroscience Letters 66, no. 3 (1986): 239–44. http://dx.doi.org/10.1016/0304-3940(86)90025-x.

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Tatar, M., G. Sant′Ambrogio, and F. B. Sant′Ambrogio. "Laryngeal and tracheobronchial cough in anesthetized dogs." Journal of Applied Physiology 76, no. 6 (1994): 2672–79. http://dx.doi.org/10.1152/jappl.1994.76.6.2672.

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Tussigenic sensitivity of laryngeal and tracheobronchial regions to mechanical and chemical stimuli was compared in 22 urethan-alpha-chloralose-anesthetized dogs. In addition, the contribution of myelinated and unmyelinated vagal fibers in mediating laryngeal and tracheobronchial cough was investigated. The intensity of cough was evaluated from changes in esophageal pressure. Whereas all mechanical stimulations and citric acid inhalations into tracheobronchial region elicited cough, only 56.7% of mechanical stimulation and 33.3% of citric acid challenges to larynx were effective. The intensity

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26

Schramm, Severin, Aashna Mehta, Kurtis I. Auguste, and Phiroz E. Tarapore. "Navigated transcranial magnetic stimulation mapping of the motor cortex for preoperative diagnostics in pediatric epilepsy." Journal of Neurosurgery: Pediatrics 28, no. 3 (2021): 287–94. http://dx.doi.org/10.3171/2021.2.peds20901.

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OBJECTIVE Navigated transcranial magnetic stimulation (nTMS) is a noninvasive technique often used for localization of the functional motor cortex via induction of motor evoked potentials (MEPs) in neurosurgical patients. There has, however, been no published record of its application in pediatric epilepsy surgery. In this study, the authors aimed to investigate the feasibility of nTMS-based motor mapping in the preoperative diagnostic workup within a population of children with medically refractory epilepsy. METHODS A single-institution database was screened for preoperative nTMS motor mappin

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Werner, Tino. "Elicitability of Instance and Object Ranking." Decision Analysis, January 25, 2022. http://dx.doi.org/10.1287/deca.2021.0446.

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Assessing the quality of a forecasting model crucially depends on a proper scoring rule or suitable loss function. As for point forecasts, the existence of a strictly consistent loss function that allows for a fair comparison of competing forecast models has to be guaranteed, which means that the corresponding statistical functional has to be elicitable. We consider instance and object ranking problems that intend to correctly predict the ordering of instances in a data set. A ranking prediction is naturally identified with a point forecast in the respective symmetric group, that is, the forec

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Embrechts, Paul, Tiantian Mao, Qiuqi Wang, and Ruodu Wang. "Bayes risk, elicitability, and the Expected Shortfall." Mathematical Finance, April 30, 2021. http://dx.doi.org/10.1111/mafi.12313.

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Embrechts, Paul, Tiantian Mao, Qiuqi Wang, and Ruodu Wang. "Bayes Risk, Elicitability, and the Expected Shortfall." SSRN Electronic Journal, 2020. http://dx.doi.org/10.2139/ssrn.3708379.

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Fissler, Tobias, and Johanna F. Ziegel. "Correction note: Higher order elicitability and Osband’s principle." Annals of Statistics 49, no. 1 (2021). http://dx.doi.org/10.1214/20-aos2014.

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Chen, James Ming. "Coherence Versus Elicitability in Measures of Market Risk." SSRN Electronic Journal, 2014. http://dx.doi.org/10.2139/ssrn.2385137.

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Fissler, Tobias, and Johanna F. Ziegel. "On the elicitability of range value at risk." Statistics & Risk Modeling, September 25, 2021. http://dx.doi.org/10.1515/strm-2020-0037.

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Abstract The debate of which quantitative risk measure to choose in practice has mainly focused on the dichotomy between value at risk (VaR) and expected shortfall (ES). Range value at risk (RVaR) is a natural interpolation between VaR and ES, constituting a tradeoff between the sensitivity of ES and the robustness of VaR, turning it into a practically relevant risk measure on its own. Hence, there is a need to statistically assess, compare and rank the predictive performance of different RVaR models, tasks subsumed under the term “comparative backtesting” in finance. This is best done in term

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Fissler, Tobias, and Yannick Hoga. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability." Journal of Business & Economic Statistics, April 13, 2023, 1–30. http://dx.doi.org/10.1080/07350015.2023.2200514.

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Tae, Hwy Lee, Seregina Ekaterina, and Xu Yaojue. "Elicitability and Encompassing for Volatility Forecasts by Bregman Functions." September 30, 2023. https://doi.org/10.5281/zenodo.8396034.

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In this paper, we construct a class of strictly consistent scoring functions based on the Bregman divergence measure, which jointly elicit the mean and variance. We use the scoring functions to develop a novel out-of-sample forecast encompassing test in volatility predictive models. We show the encompassing test is asymptotically normal. Simulation results demonstrate the merits of the proposed Bregman scoring functions and the forecast encompassing test. The forecast encompassing test exhibits a proper size and good power in finite samples. In an empirical application, we investigate the pred

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Rossello, Damiano. "Performance measurement with expectiles." Decisions in Economics and Finance, May 19, 2022. http://dx.doi.org/10.1007/s10203-022-00369-8.

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AbstractFinancial performance evaluation is intimately linked to risk measurement methodologies. There exists a well-developed literature on axiomatic and operational characterization of measures of performance. Hinged on the duality between coherent risk measures and reward associated with investment strategies, we investigate representation of acceptability indices of performance using expectile-based risk measures that recently attracted a lot of attention inside the financial and actuarial community. We propose two purely expectile-based performance ratios other than the classical gain-los

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Jiao, Shoukun, Wenchao Xu, Wuyi Ye, and Xinyu Zhang. "OPTIMAL MODEL AVERAGING FOR JOINT VALUE-AT-RISK AND EXPECTED SHORTFALL REGRESSION." Econometric Theory, February 12, 2025, 1–34. https://doi.org/10.1017/s0266466624000288.

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Since the implementation of the Basel III Accord, expected shortfall (ES) has gained increasing attention from regulators as a complement to value-at-risk (VaR). The problem of elicitability for ES makes jointly modeling VaR and ES a popular method to study ES. In this article, we develop model averaging for joint VaR and ES regression models that selects the two weight vectors by minimizing a jackknife criterion. We show the large sample properties of the estimators under potential model misspecification with increasing dimension of parameters and the asymptotic optimality of the selected wei

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Yang, Dazhi, and Jan Kleissl. "Summarizing ensemble NWP forecasts for grid operators: Consistency, elicitability, and economic value." International Journal of Forecasting, September 2022. http://dx.doi.org/10.1016/j.ijforecast.2022.08.002.

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Chen, Cathy W. S., Takaaki Koike, and Wei‐Hsuan Shau. "Tail risk forecasting with semiparametric regression models by incorporating overnight information." Journal of Forecasting, February 20, 2024. http://dx.doi.org/10.1002/for.3090.

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AbstractThis research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semiparametric regression model based on asymmetric Laplace distribution, we propose a family of RES‐CAViaR‐oc models by adding overnight return and realized measures as a nowcasting technique for simultaneously forecasting Value‐at‐Risk (VaR) and expected shortfall (ES). We utilize Bayesian methods to estimate unknown parameters and forecast VaR and ES jointly for the proposed model family. W

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Vrugt, Jasper A. "Distribution‐Based Model Evaluation and Diagnostics: Elicitability, Propriety, and Scoring Rules for Hydrograph Functionals." Water Resources Research 60, no. 6 (2024). http://dx.doi.org/10.1029/2023wr036710.

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AbstractDistribution forecasts P over future quantities or events are routinely made in hydrology but usually traded for a (likelihood‐weighted) mean or median prediction to accommodate error measures or scoring functions such as the mean absolute error or mean squared error. Case in point is the so‐called KG efficiency (KGE) of Gupta et al. (2009, https://doi.org/10.1016/j.jhydrol.2009.08.003) and improvements thereof (Lamontagne et al., 2020, https://doi.org/10.1029/2020wr027101), which have rapidly gained popularity among hydrologists as alternative scoring functions to the commonly used Na

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Béres, András. "Religion, Spirituality, and Health Revisited: Bringing Mainline Western Protestant Perspectives Back into the Discourse—Theology’s “Seat at the Table”." Journal of Religion and Health, August 16, 2023. http://dx.doi.org/10.1007/s10943-023-01888-3.

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AbstractTheological perspectives have been given short shrift in the literature on religion and health research. This study demonstrates how including different schools of mainline Western Protestant theological thought (evolutionist, correlationist, and dialectical) in the scientific process could contribute to clarifying controversies. The issue is not just theoretical: Theology can even challenge assumptions on elicitability and reproducibility. Theology perceives spirituality as a dialogue with the Total Other, thus making each encounter with the transcendent (not just the individuality of

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Hu, Yanlin, Yu Chen, and Tiantian Mao. "An extreme worst-case risk measure by expectile." Advances in Applied Probability, April 2, 2024, 1–20. http://dx.doi.org/10.1017/apr.2024.10.

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Abstract Expectiles have received increasing attention as a risk measure in risk management because of their coherency and elicitability at the level $\alpha\geq1/2$ . With a view to practical risk assessments, this paper delves into the worst-case expectile, where only partial information on the underlying distribution is available and there is no closed-form representation. We explore the asymptotic behavior of the worst-case expectile on two specified ambiguity sets: one is through the Wasserstein distance from a reference distribution and transforms this problem into a convex optimization

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42

Dulfer, S. E., F. Lange, M. M. Sahinovic, et al. "Feasibility and optimal choice of stimulation parameters for supramaximal stimulation of motor evoked potentials." Journal of Clinical Monitoring and Computing, January 13, 2023. http://dx.doi.org/10.1007/s10877-022-00972-5.

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AbstractPurpose: The aim was to investigate the feasibility and optimal stimulation parameters for supramaximal stimulation of muscle recorded transcranial electrical stimulation motor evoked potentials (mTc-MEP). Methods: Forty-seven consecutive patients that underwent scoliosis surgery were included. First, the feasibility of supramaximal stimulation was assessed for two settings (setting 1: pulse duration 0.075ms, interstimulus interval (ISI) 1.5ms; setting 2: pulse duration 0.300ms, ISI 3ms). Thereafter, three mTc-MEP parameters were considered for both settings; (1) elicitability, (2) amp

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Lu, Xunfa, Kang Sheng, and Zhengjun Zhang. "Forecasting VaR and ES using the joint regression combined forecasting model in the Chinese stock market." International Journal of Emerging Markets, December 29, 2022. http://dx.doi.org/10.1108/ijoem-06-2022-0941.

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PurposeThis paper aims to better jointly estimate Value at Risk (VaR) and expected shortfall (ES) by using the joint regression combined forecasting (JRCF) model.Design/methodology/approachCombining different forecasting models in financial risk measurement can improve their prediction accuracy by integrating the individual models’ information. This paper applies the JRCF model to measure VaR and ES at 5%, 2.5% and 1% probability levels in the Chinese stock market. While ES is not elicitable on its own, the joint elicitability property of VaR and ES is established by the joint consistent scori

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Lu, Xunfa, Cheng Liu, Kin Keung Lai, and Hairong Cui. "Risk measurement in Bitcoin market by fusing LSTM with the joint-regression-combined forecasting model." Kybernetes, December 24, 2021. http://dx.doi.org/10.1108/k-07-2021-0620.

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Purpose The purpose of the paper is to better measure the risks and volatility of the Bitcoin market by using the proposed novel risk measurement model. Design/methodology/approach The joint regression analysis of value at risk (VaR) and expected shortfall (ES) can effectively overcome the non-elicitability problem of ES to better measure the risks and volatility of financial markets. And because of the incomparable advantages of the long- and short-term memory (LSTM) model in processing non-linear time series, the paper embeds LSTM into the joint regression combined forecasting framework of V

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