Related papers: Coherence and elicitability
We examine a new approach to modeling uncertainty based on plausibility measures, where a plausibility measure just associates with an event its plausibility, an element is some partially ordered set. This approach is easily seen to…
Many experiments elicit subjects' prior and posterior beliefs about a random variable to assess how information affects one's own actions. However, beliefs are multi-dimensional objects, and experimenters often only elicit a single response…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
In economics, risk aversion is modeled via a concave Bernoulli utility within the expected-utility paradigm. We propose a simple test of expected utility and concavity. We find little support for either: only 30 percent of the choices are…
Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are…
Calibrating blackbox machine learning models to achieve risk control is crucial to ensure reliable decision-making. A rich line of literature has been studying how to calibrate a model so that its predictions satisfy explicit finite-sample…
Prediction sets provide a means of quantifying the uncertainty in predictive tasks. Using held out calibration data, conformal prediction and risk control can produce prediction sets that exhibit statistically valid error control in a…
In this paper, we study properties of certain risk measures associated with acceptance sets. These sets describe regulatory preconditions that have to be fulfilled by financial institutions to pass a given acceptance test. If the financial…
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
We study weakest precondition reasoning about the (co)variance of outcomes and the variance of run-times of probabilistic programs with conditioning. For outcomes, we show that approximating (co)variances is computationally more difficult…
Accurately determining the outcome of an election is a complex task with many potential sources of error, ranging from software glitches in voting machines to procedural lapses to outright fraud. Risk-limiting audits (RLA) are statistically…
Conformal prediction is a statistically rigorous method for quantifying uncertainty in models by having them output sets of predictions, with larger sets indicating more uncertainty. However, prediction sets are not inherently actionable;…
Calibration is a frequently invoked concept when useful label probability estimates are required on top of classification accuracy. A calibrated model is a function whose values correctly reflect underlying label probabilities. Calibration…
Quantifying how distinguishable two stochastic processes are lies at the heart of many fields, such as machine learning and quantitative finance. While several measures have been proposed for this task, none have universal applicability and…
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
Our primary aim is to find an estimate of the expected shortfall in various situations: (1) Nonparametric situation, when the probability distribution of the incurred loss is unknown, only satisfying some general conditions. Then, following…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…