Sehr geehrte Damen und Herren,
Wir laden Sie herzlich zum VOSTA Seminar von Herrn Michael Gordy, Federal Reserve Board, mit dem Titel "Spectral backtests of forecast distributions with application to risk management" ein.
Termin:
Montag, 16. April 2018, 11:00 Uhr
Ort:
Oesterreichische Nationalbank - Geldzentrum
Veranstaltungssaal Geldzentrum B-O3085, B-3. Stock
Garnisongasse 15
1090 Wien
Abstract:
We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user’s priorities for model performance. The class of spectral backtests includes tests of unconditional coverage and tests of conditional coverage. We show how the class embeds a wide variety of backtests in the existing literature, and propose novel variants as well. In an empirical application, we backtest forecast distributions for the overnight P&L of ten bank trading portfolios. For some portfolios, test results depend materially on the choice of kernel.
Um Ihre verlässliche An- bzw. Abmeldung ersuchen wir bis Dienstag, 10. April 2018, an event-management@oenb.at.
Mit freundlichen Grüßen,
Event-Management
