Related papers: Efficient Estimation in Extreme Value Regression M…
We investigate the use of optimization to compute bounds for extremal performance measures. This approach takes a non-parametric viewpoint that aims to alleviate the issue of model misspecification possibly encountered by conventional…
This paper introduces a flexible framework for the estimation of the conditional tail index of heavy tailed distributions. In this framework, the tail index is computed from an auxiliary linear regression model that facilitates estimation…
We consider the problem of evaluating risk for a system that is modeled by a complex stochastic simulation with many possible input parameter values. Two sources of computational burden can be identified: the effort associated with…
This paper aims to more effectively manage and mitigate stock market risks by accurately characterizing financial market returns and volatility. We enhance the Stochastic Volatility (SV) model by incorporating fat-tailed distributions and…
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather…
Expected shortfall (ES), also known as conditional value-at-risk, is a widely recognized risk measure that complements value-at-risk by capturing tail-related risks more effectively. Compared with quantile regression, which has been…
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…
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,…
Chebyshev's inequality provides an upper bound on the tail probability of a random variable based on its mean and variance. While tight, the inequality has been criticized for only being attained by pathological distributions that abuse the…
Conventional methods for extreme event estimation rely on well-chosen parametric models asymptotically justified from extreme value theory (EVT). These methods, while powerful and theoretically grounded, could however encounter a difficult…
Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile…
The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily…
Finding the hedge ratios for a portfolio and risk compression is the same mathematical problem. Traditionally, regression is used for this purpose. However, regression has its own limitations. For example, in a regression model, we can't…
Bias reduction in tail estimation has received considerable interest in extreme value analysis. Estimation methods that minimize the bias while keeping the mean squared error (MSE) under control, are especially useful when applying…
This article proposes a new method of truncated estimation to estimate the tail index $\alpha$ of the extremely heavy-tailed distribution with infinite mean or variance. We not only present two truncated estimators $\hat{\alpha}$ and…
Extreme value theory (EVT) provides an elegant mathematical tool for the statistical analysis of rare events. When data are collected from multiple population subgroups, because some subgroups may have less data available for extreme value…
This paper establishes the functional convergence of the Extreme Nelson--Aalen and Extreme Kaplan--Meier estimators, which are designed to capture the heavy-tailed behaviour of censored losses. The resulting limit representations can be…
We aim to analyze the behaviour of a finite-time stochastic system, whose model is not available, in the context of more rare and harmful outcomes. Standard estimators are not effective in making predictions about such outcomes due to their…
Estimation of tail quantities, such as expected shortfall or Value at Risk, is a difficult problem. We show how the theory of nonlinear expectations, in particular the Data-robust expectation introduced in [5], can assist in the…
Estimation of extreme conditional quantiles is often required for risk assessment of natural hazards in climate and geo-environmental sciences and for quantitative risk management in statistical finance, econometrics, and actuarial…