title: Murphy Diagrams: Forecast Evaluation of Expected Shortfall
creator: Ziegel, Johanna F.
creator: Krueger, Fabian
creator: Jordan, Alexander
creator: Fasciati, Fernando
subject: 330
subject: 330 Economics
description: 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.
date: 2017-05-12
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/22950/1/__ad.uni-heidelberg.de_wiso_u.arnold_Desktop_Murphy%20Diagrams%20Forecast%20Evaluation%20of%20Expected%20Shortfall.pdf
identifier: DOI:10.11588/heidok.00022950
identifier: urn:nbn:de:bsz:16-heidok-229502
identifier:   Ziegel, Johanna F. ; Krueger, Fabian ; Jordan, Alexander ; Fasciati, Fernando  (2017) Murphy Diagrams: Forecast Evaluation of Expected Shortfall.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/22950/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng