The Institute for Statistics and Mathematics (Department of Finance, Accounting and Statistics) cordially invites everyone interested to attend the talks in our Research Seminar Series, where internationally renowned scholars from leading universities present and discuss their (working) papers.

The list of talks for the winter term 2018/19 is available via the following link: <link en statmath resseminar>www.wu.ac.at/en/statmath/resseminar

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. The tests are illustrated by extensive simulation studies in which we consider the performance when essential features of the forecast model are neglected, such as heavy tails and volatility. In an empirical application, we backtest forecast distributions for the overnight P&L of ten bank trading portfolios.

http://www.wu.ac.at/en/statmath/resseminar