Related papers: Estimation Error of Expected Shortfall
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…
This paper focuses on the problem of the estimation of the cumulative hazard function of a distribution on a general complete separable metric space when the data points are subject to censoring by an arbitrary adapted random set. A problem…
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These…
We consider Empirical Bayes (EB) estimation in the normal means problem, when the standard deviations of the observations are not known precisely, but estimated with error -- which is almost always the case in practical applications. In…
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the…
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric…
The common practice for displaying error bars on distributions of numbers of events is confusing and can lead to incorrect conclusions. A proposal is made for a different style of presentation that more directly indicates the level of…
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk…
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new notion of risk measures, that we call Copula Conditional Tail…
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…
This paper describes types of errors arising in a recently proposed method of incidence estimation from prevalence data. The errors are illustrated by a simulation study about a hypothetical irreversible disease. In addition, a way of…
To be considered reliable, a model must be calibrated so that its confidence in each decision closely reflects its true outcome. In this blogpost we'll take a look at the most commonly used definition for calibration and then dive into a…
A delay between the occurrence and the reporting of events often has practical implications such as for the amount of capital to hold for insurance companies, or for taking preventive actions in case of infectious diseases. The accurate…
In this paper, we consider the concept of the residual inaccuracy measure and extend it to its weighted version based on extropy. Properties of this measure are studied and the discrimination principle is applied in the class of…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…
We review the alternative proposals introduced recently in the literature to update the standard formula to estimate the uncertainty on the mean of repeated measurements, and we compare their performances on synthetic examples with normal…
In risk management, often the probability must be estimated that a random vector falls into an extreme failure set. In the framework of bivariate extreme value theory, we construct an estimator for such failure probabilities and analyze its…
The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent…