英文标题：
《The role of the information set for forecasting - with applications to
risk management》
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作者：
Hajo Holzmann, Matthias Eulert
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最新提交年份：
2014
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英文摘要：
Predictions are issued on the basis of certain information. If the forecasting mechanisms are correctly specified, a larger amount of available information should lead to better forecasts. For point forecasts, we show how the effect of increasing the information set can be quantified by using strictly consistent scoring functions, where it results in smaller average scores. Further, we show that the classical Diebold-Mariano test, based on strictly consistent scoring functions and asymptotically ideal forecasts, is a consistent test for the effect of an increase in a sequence of information sets on $h$-step point forecasts. For the value at risk (VaR), we show that the average score, which corresponds to the average quantile risk, directly relates to the expected shortfall. Thus, increasing the information set will result in VaR forecasts which lead on average to smaller expected shortfalls. We illustrate our results in simulations and applications to stock returns for unconditional versus conditional risk management as well as univariate modeling of portfolio returns versus multivariate modeling of individual risk factors. The role of the information set for evaluating probabilistic forecasts by using strictly proper scoring rules is also discussed.
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中文摘要：
预测是根据某些信息发布的。如果正确指定了预测机制，那么更多的可用信息将导致更好的预测。对于点预测，我们展示了如何通过使用严格一致的评分函数来量化增加信息集的效果，从而得到较小的平均分数。此外，我们还表明，基于严格一致的评分函数和渐近理想预测的经典Diebold-Mariano检验是一种一致的检验，用于检验一系列信息集的增加对$h$步进点预测的影响。对于风险价值（VaR），我们表明，对应于平均分位数风险的平均分数与预期短缺直接相关。因此，增加信息集将导致VaR预测，从而平均减少预期短缺。我们在无条件风险管理和条件风险管理的股票收益模拟和应用中，以及投资组合收益的单变量建模和单个风险因素的多变量建模中，展示了我们的结果。还讨论了信息集在使用严格适当的评分规则评估概率预测中的作用。
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分类信息：

一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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