Related papers: Backtesting Systemic Risk Forecasts using Multi-Ob…
Corporate credit ratings issued by third-party rating agencies are quantified assessments of a company's creditworthiness. Credit Ratings highly correlate to the likelihood of a company defaulting on its debt obligations. These ratings play…
While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We…
The use of tiered warnings and multicategorical forecasts are ubiquitous in meteorological operations. Here, a flexible family of scoring functions is presented for evaluating the performance of ordered multicategorical forecasts. Each…
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…
In financial risk management, Value at Risk (VaR) is widely used to estimate potential portfolio losses. VaR's limitation is its inability to account for the magnitude of losses beyond a certain threshold. Expected Shortfall (ES) addresses…
Recommender Systems today are still mostly evaluated in terms of accuracy, with other aspects beyond the immediate relevance of recommendations, such as diversity, long-term user retention and fairness, often taking a back seat. Moreover,…
Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced artificial intelligence solutions may provide the right tools to…
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a new and fundamental light on optimal estimation procedures…
Advanced classification algorithms are being increasingly used in safety-critical applications like health-care, engineering, etc. In such applications, miss-classifications made by ML algorithms can result in substantial financial or…
This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `correct'. We draw the distinction between `external' and…
We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data…
We present a novel numerical method for solving McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) with common noise, combining Picard iterations, elicitability and deep learning. The key innovation involves…
CoVaR (conditional value-at-risk) is a crucial measure for assessing financial systemic risk, which is defined as a conditional quantile of a random variable, conditioned on other random variables reaching specific quantiles. It enables the…
We cast visual retrieval as a regression problem by posing triplet loss as a regression loss. This enables epistemic uncertainty estimation using dropout as a Bayesian approximation framework in retrieval. Accordingly, Monte Carlo (MC)…
We propose a robust hypothesis testing procedure for the predictability of multiple predictors that could be highly persistent. Our method improves the popular extended instrumental variable (IVX) testing (Phillips and Lee, 2013; Kostakis…
We address imbalanced classification, the problem in which a label may have low marginal probability relative to other labels, by weighting losses according to the correct class. First, we examine the convergence rates of the expected…
Systemic risk measures quantify the potential risk to an individual financial constituent arising from the distress of entire financial system. As a generalization of two widely applied risk measures, Value-at-Risk and Expected Shortfall,…
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…