Related papers: Backtesting Expected Shortfall: a simple recipe?

Here we introduce the idea of using rational expectations, a core concept in economics and finance, as a tool to predict the optimal failure time for a wide class of weighted k-out-of-n reliability systems. We illustrate the concept by…

Stability selection is a popular method for improving feature selection algorithms. One of its key attributes is that it provides theoretical upper bounds on the expected number of false positives, E(FP), enabling false positive control in…

In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…

This work extends a previous work in regime detection, which allowed trading positions to be profitably adjusted when a new regime was detected, to ex ante prediction of regimes, leading to substantial performance improvements over the…

Organizations routinely make strategic budget allocations under operational constraints, but often lack a principled way to assess whether realized allocations were close to the best feasible choices in hindsight. We present a retrospective…

Employing model predictive control to systems with unbounded, stochastic disturbances poses the challenge of guaranteeing safety, i.e., repeated feasibility and stability of the closed-loop system. Especially, there are no strict repeated…

Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In this work, we propose an efficient numerical framework that uses only simulations of returns for estimating…

The growing amount of fluctuating renewable infeeds and market liberalization increases uncertainty in power system operation. To capture the influence of fluctuations in operational planning, we model the forecast errors of the uncertain…

When working with real-world insurance data, practitioners often encounter challenges during the data preparation stage that can undermine the statistical validity and reliability of downstream modeling. This study illustrates that…

This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be…

Today, data analysts largely rely on intuition to determine whether missing or withheld rows of a dataset significantly affect their analyses. We propose a framework that can produce automatic contingency analysis, i.e., the range of values…

The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios…

In order to test if an unknown matrix has a given rank (null hypothesis), we consider the family of statistics that are minimum squared distances between an estimator and the manifold of fixed-rank matrix. Under the null hypothesis, every…

We propose a computational framework to quantify (measure) and to optimize the reliability of complex systems. The approach uses a graph representation of the system that is subject to random failures of its components (nodes and edges).…

Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a new worst-case bound on the expected…

Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates outer scenarios and the inner-level simulations are run in each outer…

We study flow shop scheduling with stochastic reentry, where jobs must complete multiple passes through the entire shop, and the number of passes that a job requires for completion is drawn from a discrete probability distribution. The goal…

In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…

The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical…

This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…