Related papers: Comparison of Value-at-Risk models: the MCS packag…
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…
High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series,…
The Pickands estimator for the extreme value index is beneficial due to its universal consistency, location, and scale invariance, which sets it apart from other types of estimators. However, similar to many extreme value index estimators,…
In the context of macroeconomic/financial time series, the FARS package provides a comprehensive framework in R for the construction of conditional densities of the variable of interest based on the factor-augmented quantile regressions…
Making decisions with respect to just the expected returns in Monte Carlo Tree Search (MCTS) cannot account for the potential range of high-risk, adverse outcomes associated with a decision. To this end, safety-aware MCTS often consider…
We tackle the problem of estimating risk measures of the infinite-horizon discounted cost within a Markov cost process. The risk measures we study include variance, Value-at-Risk (VaR), and Conditional Value-at-Risk (CVaR). First, we show…
Generalized autoregressive score (GAS) models are a class of observation-driven time series models that employ the score to dynamically update time-varying parameters of the underlying probability distribution. GAS models have been…
We propose a risk-averse statistical learning framework wherein the performance of a learning algorithm is evaluated by the conditional value-at-risk (CVaR) of losses rather than the expected loss. We devise algorithms based on stochastic…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme…
We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for…
This paper proposes a safety analysis method that facilitates a tunable balance between the worst-case and risk-neutral perspectives. First, we define a risk-sensitive safe set to specify the degree of safety attained by a stochastic…
Digital twin models allow us to continuously assess the possible risk of damage and failure of a complex system. Yet high-fidelity digital twin models can be computationally expensive, making quick-turnaround assessment challenging. Towards…
Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of portfolios with option positions. Its effectiveness,…
The increasing value of data held in enterprises makes it an attractive target to attackers. The increasing likelihood and impact of a cyber attack have highlighted the importance of effective cyber risk estimation. We propose two methods…
Scaling and multiscaling financial time series have been widely studied in the literature. The research on this topic is vast and still flourishing. One way to analyze the scaling properties of time series is through the estimation of their…
Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of Neyman-Pearson type binary solution. We…
Historical (Stressed-) Value-at-Risk ((S)VAR), and Expected Shortfall (ES), are widely used risk measures in regulatory capital and Initial Margin, i.e. funding, computations. However, whilst the definitions of VAR and ES are unambiguous,…
The Generalized Extreme Value (GEV) distribution plays a critical role in risk assessment across various domains, such as hydrology, climate science, and finance. In this study, we investigate its application in analyzing intraday trading…
In this paper, we propose the realized Hyperbolic GARCH model for the joint-dynamics of lowfrequency returns and realized measures that generalizes the realized GARCH model of Hansen et al.(2012) as well as the FLoGARCH model introduced by…