This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management. We assess the predictive performance of optimal forecasts from potentially misspecified models for i) value-at-risk and expected shortfall predictions; and ii) prediction of the VIX volatility index for use in hedging strategies involving VIX futures. Our empirical results show that calibrating the predictive distribution using a score that rewards the accurate prediction of extreme returns improves the VaR and ES predictions. Tail-focused predictive distributions are also shown to yield better outcomes in hedging strategies using VIX futures.
翻译:本文探讨了根据与财务风险管理有关的评分规则优化预测分布的影响。我们评估了从可能错误的模型中得出的最佳预测预测的预测业绩,这些模型包括:(一) 风险价值预测和预期短缺预测;(二) 预测VIX波动指数,用于涉及VIX期期期的套期保值战略。我们的实证结果表明,使用奖励对极端回报的准确预测的得分来校准预测分布,可以改善VAR和ES预测。以尾注为主的预测分布也表明,使用VIX期期的套期保值战略会产生更好的结果。</s>