Related papers: Coherence and elicitability
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk…
Expectiles were introduced by Newey and Powell (1987) in the context of linear regression models. Recently, Bellini et al. (2014) revealed that expectiles can also be seen as reasonable law-invariant risk measures. In this article, we show…
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…
Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…
Quantifying coherence has received increasing attention, and considerable work has been directed towards finding coherence measures. While various coherence measures have been proposed in theory, an important issue following is how to…
This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is infeasible, and thus, our tests are…
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes…
Current evaluations of LLM safety predominantly rely on severity-based taxonomies to assess the harmfulness of malicious queries. We argue that this formulation requires re-examination as it assumes uniform risk across all malicious…
LLM confidence calibration is often evaluated by comparing two signals: token-probability scores and verbalized confidence. These signals are sometimes treated as direct readouts of model uncertainty, but their comparison depends on…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
A long noted difficulty when assessing the reliability (or calibration) of forecasting systems is that reliability, in general, is a hypothesis not about a finite dimensional parameter but about an entire functional relationship. A…
Stratifying factors, like age and gender, can modify the effect of treatments and exposures on risk of a studied outcome. Several effect measures, including the relative risk, hazard ratio, odds ratio, and risk difference, can be used to…
The underlying idea behind the construction of indices of economic inequality is based on measuring deviations of various portions of low incomes from certain references or benchmarks, that could be point measures like population mean or…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be elicitable, implying that copula predictions cannot sensibly…
Foundation models often generate unreliable answers, while heuristic uncertainty estimators fail to fully distinguish correct from incorrect outputs, causing users to accept erroneous answers without any statistical guarantee. We address…