Related papers: Backtesting Expected Shortfall: a simple recipe?
Randomized exponential backoff is a widely deployed technique for coordinating access to a shared resource. A good backoff protocol should, arguably, satisfy three natural properties: (i) it should provide constant throughput, wasting as…
Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little…
A central problem in business concerns the optimal allocation of limited resources to a set of available tasks, where the payoff of these tasks is inherently uncertain. In credit card fraud detection, for instance, a bank can only assign a…
Value at risk and expected shortfall are increasingly popular tail risk measures in the financial risk management field. Both academia and financial institutions are working to improve tail risk forecasts in order to meet the requirements…
This paper presents a novel approach to stochastic economic model predictive control (SEMPC) that minimizes average economic cost while satisfying an empirical expected shortfall (EES) constraint to manage risk. A new scenario-based 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…
To use control charts in practice, the in-control state usually has to be estimated. This estimation has a detrimental effect on the performance of control charts, which is often measured for example by the false alarm probability or the…
We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal…
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…
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…
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…
Marginal expected shortfall (MES) is an important measure when assessing and quantifying the contribution of the financial institution to a systemic crisis. In this paper, we propose time-lagged marginal expected shortfall (TMES) as a…
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the…
The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected shortfall -- where expectile takes the place of quantile.…
A simple test is proposed for examining the correctness of a given completely specified response function against unspecified general alternatives in the context of univariate regression. The usual diagnostic tools based on residuals plots…
Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…
Expected shortfall is defined as the average over the tail below (or above) a certain quantile of a probability distribution. Expected shortfall regression provides powerful tools for learning the relationship between a response variable…
We study a class of backtests for forecast distributions in which the test statistic depends on a spectral transformation that weights exceedance events by a function of the modeled probability level. The weighting scheme is specified by a…
To provide a comprehensive summary of the tail distribution, the expected shortfall is defined as the average over the tail above (or below) a certain quantile of the distribution. The expected shortfall regression captures the…
The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and scientific attention. The impact of parameter imperfections on the quality of expected loss (EL) in the sense of a fair,…