Related papers: Multinomial VaR Backtests: A simple implicit appro…
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p…
For better user experience and business effectiveness, Click-Through Rate (CTR) prediction has been one of the most important tasks in E-commerce. Although extensive CTR prediction models have been proposed, learning good representation of…
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…
The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the two most popular risk measures in banking and insurance regulation. To bridge between the two regulatory risk measures, the Probability Equivalent Level of VaR-ES (PELVE) was…
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected…
This paper proposes a semiparametric joint VaRES framework driven by realized information, mo tivated by the economic mechanisms underlying tail risk generation. Building on the CAViaR quantile recursion, the model introduces a dynamic…
Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…
In the financial field, precise risk assessment tools are essential for decision-making. Recent studies have challenged the notion that traditional network loss functions like Mean Square Error (MSE) are adequate, especially under extreme…
We analyze the local Rademacher complexity of empirical risk minimization (ERM)-based multi-label learning algorithms, and in doing so propose a new algorithm for multi-label learning. Rather than using the trace norm to regularize the…
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…
Risk measures such as Conditional Value-at-Risk (CVaR) focus on extreme losses, where scarce tail data makes model error unavoidable. To hedge misspecification, one evaluates worst-case tail risk over an ambiguity set. Using Extreme Value…
The multi-armed bandit (MAB) problem is a ubiquitous decision-making problem that exemplifies exploration-exploitation tradeoff. Standard formulations exclude risk in decision making. Risknotably complicates the basic reward-maximising…
Binary classification rules based on covariates typically depend on simple loss functions such as zero-one misclassification. Some cases may require more complex loss functions. For example, individual-level monitoring of HIV-infected…
Assortment optimization has received active explorations in the past few decades due to its practical importance. Despite the extensive literature dealing with optimization algorithms and latent score estimation, uncertainty quantification…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk measures. In particular, the Tail Value-at-Risk (TVaR) and…
Backtesting risk measures is a central task in financial regulation. While standard backtests evaluate whether a forecasting model is statistically consistent with observed losses, regulatory practice often requires assessing the…
The success of neural architecture search (NAS) has historically been limited by excessive compute requirements. While modern weight-sharing NAS methods such as DARTS are able to finish the search in single-digit GPU days, extracting the…
Conditional value-at-risk (CVaR) and value-at-risk (VaR) are popular tail-risk measures in finance and insurance industries as well as in highly reliable, safety-critical uncertain environments where often the underlying probability…
The multi-armed bandit (MAB) problem is a ubiquitous decision-making problem that exemplifies the exploration-exploitation tradeoff. Standard formulations exclude risk in decision making. Risk notably complicates the basic reward-maximising…