Related papers: Time-Series Foundation AI Model for Value-at-Risk …

This research presents a framework for quantitative risk management in volatile markets, specifically focusing on expectile-based methodologies applied to the FTSE 100 index. Traditional risk measures such as Value-at-Risk (VaR) have…

A foundation model is a machine learning model trained on a large and diverse set of data, typically using self-supervised learning-based pre-training techniques, that can be adapted to various downstream tasks. However, current research on…

We propose a novel framework for analyzing multivariate time series (MTS) data by integrating non-negative matrix factorization (NMF) with vector autoregression (VAR). Termed NMF-VAR, this method models the coefficient matrix of NMF as a…

We propose a new approach, termed Realized Risk Measures (RRM), to estimate Value-at-Risk (VaR) and Expected Shortfall (ES) using high-frequency financial data. It extends the Realized Quantile (RQ) approach proposed by Dimitriadis and…

Utilizing a generative regime switching framework, we perform Monte-Carlo simulations of asset returns for Value at Risk threshold estimation. Using equity markets and long term bonds as test assets in the global, US, Euro area and UK…

Large models have shown unprecedented capabilities in natural language processing, image generation, and most recently, time series forecasting. This leads us to ask the question: treating market prices as a time series, can large models be…

Time-series forecasting models (TSFM) have evolved from classical statistical methods to sophisticated foundation models, yet understanding why and when these models succeed or fail remains challenging. Despite this known limitation, time…

In the Venture Capital (VC) industry, predicting the success of startups is challenging due to limited financial data and the need for subjective revenue forecasts. Previous methods based on time series analysis often fall short as they…

In this paper we consider Fourier transform techniques to efficiently compute the Value-at-Risk and the Conditional Value-at-Risk of an arbitrary loss random variable, characterized by having a computable generalized characteristic…

In practice, the value-at-risk (VaR) for a longer holding period is often scaled using the 'square root of time rule'. The VaR is determined for a shorter holding period and then scaled up according to the desired holding period. For…

A non-Bayesian, regression-based or generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has partly been used by Ito et al. (2014, 2016a,b), and is proven…

Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modelling, the number of parameters grow quadratically with…

In recent years, the dynamic factor model has emerged as a dominant tool in economics and finance, particularly for investment strategies. This model offers improved handling of complex, nonlinear, and noisy market conditions compared to…

Optimizing Conditional Value-at-risk (CVaR) using policy gradient (a.k.a CVaR-PG) faces significant challenges of sample inefficiency. This inefficiency stems from the fact that it focuses on tail-end performance and overlooks many sampled…

Time series of individual subjects have become a common data type in psychological research. These data allow one to estimate models of within-subject dynamics, and thereby avoid the notorious problem of making within-subjects inferences…

Vision-Language Models (VLMs) show promise as zero-shot goal-conditioned value functions, but their frozen pre-trained representations limit generalization and temporal reasoning. We introduce VITA, a zero-shot value function learning…

Time series forecasting (TSF) possesses great practical values in various fields, including power and energy, transportation, etc. TSF methods have been studied based on knowledge from classical statistics to modern deep learning. Yet, all…

This paper introduces a new extension of the Conditional Autoregressive Value at Risk (CAViaR) model aimed at improving tail risk forecasting across assets. The proposed component-based model, CAViaR with Spillover Effects (CAViaR-SE),…

The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…

Multi-task and few-shot time series forecasting tasks are commonly encountered in scenarios such as the launch of new products in different cities. However, traditional time series forecasting methods suffer from insufficient historical…