T
Tobias Fissler
Researcher at Vienna University of Economics and Business
Publications - 35
Citations - 750
Tobias Fissler is an academic researcher from Vienna University of Economics and Business. The author has contributed to research in topics: Expected shortfall & Risk measure. The author has an hindex of 9, co-authored 29 publications receiving 580 citations. Previous affiliations of Tobias Fissler include University of Bern.
Papers
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Higher order elicitability and Osband's principle
Tobias Fissler,Johanna F. Ziegel +1 more
TL;DR: In this paper, the authors explore the notion of elicitability for multi-dimensional functionals and give both necessary and sufficient conditions for strictly consistent scoring functions, and show that one dimensional functionals that are not elicitable can be a component of a higher order elicitable functional.
Journal ArticleDOI
Higher order elicitability and Osband’s principle
Tobias Fissler,Johanna F. Ziegel +1 more
TL;DR: In this paper, the authors explore the notion of elicitability for multi-dimensional functionals and give both necessary and sufficient conditions for strictly consistent scoring functions, and show that one dimensional functionals that are not elicitable can be a component of a higher order elicitable functional.
Posted Content
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
TL;DR: In this paper, the relevance of elicitability for backtesting risk measure estimates was discussed, and the use of Diebold-Mariano tests was proposed for expected shortfalls.
Journal ArticleDOI
Order-sensitivity and equivariance of scoring functions
Tobias Fissler,Johanna F. Ziegel +1 more
TL;DR: In this paper, the authors consider scoring functions for popular functionals, putting special emphasis on vector-valued functions, e.g. the pair (mean, variance) or (Value at Risk, Expected Shortfall).
Posted Content
Elicitability of Range Value at Risk
Tobias Fissler,Johanna F. Ziegel +1 more
TL;DR: In this article, the authors show that a triplet of RVaR with two value at risk components at different levels is elicitable, and they show that the class of strictly consistent scoring functions, including the diagnostic tool of Murphy diagrams, can be characterized.