Related papers: Time-lagged marginal expected shortfall
The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics.…
We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall (ES) of a response variable given a set of covariates. This regression is based on a strictly consistent loss function for the…
We propose an $\ell_1$-penalized estimator for high-dimensional models of Expected Shortfall (ES). The estimator is obtained as the solution to a least-squares problem for an auxiliary dependent variable, which is defined as a…
To compare different forecasting methods on demand series we require an error measure. Many error measures have been proposed, but when demand is intermittent some become inapplicable, some give counter-intuitive results, and there is no…
We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear…
This paper presents an evaluation framework that attempts to quantify the "degree of realism" of simulated financial time series, whatever the simulation method could be, with the aim of discover unknown characteristics that are not being…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is also finding applications beyond these areas. In finance, it…
Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between the quantile score function and the Asymmetric Laplace…
Evaluating the effects of time-varying exposures is essential for longitudinal studies. The effect estimation becomes increasingly challenging when dealing with hundreds of time-dependent confounders. We propose a Marginal Structure…
We propose Deep Longitudinal Targeted Minimum Loss-based Estimation (Deep LTMLE), a novel approach to estimate the counterfactual mean of outcome under dynamic treatment policies in longitudinal problem settings. Our approach utilizes a…
Analyzing Event-Triggered Control's (ETC) sampling behaviour is of paramount importance, as it enables formal assessment of its sampling performance and prediction of its sampling patterns. In this work, we formally analyze the sampling…
We present a new version of the truncated harmonic mean estimator (THAMES) for univariate or multivariate mixture models. The estimator computes the marginal likelihood from Markov chain Monte Carlo (MCMC) samples, is consistent,…
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 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 introduce a new adjusted residual maximum likelihood method (REML) in the context of producing an empirical Bayes (EB) confidence interval for a normal mean, a problem of great interest in different small area applications. Like other…
Incorporating textual information into time-series forecasting holds promise for addressing event-driven non-stationarity; however, a fundamental modality gap hinders effective fusion: textual descriptions express temporal impacts…
Context: Technical lag accumulates when software systems fail to keep pace with technological advancements, leading to a deterioration in software quality. Objective: This paper aims to consolidate existing research on technical lag,…
In the context of networked control systems, event-triggered control (ETC) has emerged as a major topic due to its alleged resource usage reduction capabilities. However, this is mainly supported by numerical simulations, and very little is…
We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for…