Related papers: Exponential Spectral Risk Measures
In statistical exercises where there are several candidate models, the traditional approach is to select one model using some data driven criterion and use that model for estimation, testing and other purposes, ignoring the variability of…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
To design Bayesian studies, criteria for the operating characteristics of posterior analyses - such as power and the type I error rate - are often assessed by estimating sampling distributions of posterior probabilities via simulation. In…
In many statistical studies, the measure of uncertainties like entropy, extropy, varentropy and varextropy of a distribution function is of prime interest. This paper proposes estimators of extropy and varextropy. Proposed estimators are…
Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has been whether to use one of many historical ("physical")…
We consider the problems of estimation and optimization of utility-based shortfall risk (UBSR), which is a popular risk measure in finance. In the context of UBSR estimation, we derive a non-asymptotic bound on the mean-squared error of the…
We study distributional similarity measures for the purpose of improving probability estimation for unseen cooccurrences. Our contributions are three-fold: an empirical comparison of a broad range of measures; a classification of similarity…
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…
In this paper we introduce a generalization of classical risk measures in which the risk is represented by a step function taking two values, corresponding to two endogenously determined market regimes. This extends the traditional…
Complete spectroscopy (measurements of a complete sequence of consecutive levels) is often considered as a prerequisite to extract fluctuation properties of spectra. It is shown how this goal can be achieved even if only a fraction of…
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches…
We propose to interpret distribution model risk as sensitivity of expected loss to changes in the risk factor distribution, and to measure the distribution model risk of a portfolio by the maximum expected loss over a set of plausible…
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…
An approach is suggested defining effective sums of divergent series in the form of self-similar exponential approximants. The procedure of constructing these approximants from divergent series with arbitrary noninteger powers is developed.…
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and…
In this article, the estimation of reliability of a system is discussed $p(y<x)$ when strength, $X$, and stress, $Y$, are two independent exponential distribution with different scale parameters when the available data are type II Censored…
Distortion risk measures play a critical role in quantifying risks associated with uncertain outcomes. Accurately estimating these risk measures in the context of computationally expensive simulation models that lack analytical tractability…
We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data…
A large class of problems in sciences and engineering can be formulated as the general problem of constructing random intervals with pre-specified coverage probabilities for the mean. Wee propose a general approach for statistical inference…
For an exact quantitative description of spectral properties of synchrotron radiation (SR), the concept of effective width of the spectrum is introduced. In the most interesting case, which corresponds to the ultrarelativistic limit of SR,…