Related papers: Coherent estimation of risk measures
Systemic risk measures are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent…
We give an axiomatic framework for conditional generalized deviation measures. Under financially reasonable assumptions, we give the correspondence between conditional coherent risk measures and generalized deviation measures. Moreover, we…
Quantum coherence has wide-ranging applications from quantum thermodynamics to quantum metrology, quantum channel discrimination and even quantum biology. Thus, detecting and quantifying coherence are two fundamental problems in quantum…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
Expectiles were introduced by Newey and Powell (1987) in the context of linear regression models. Recently, Bellini et al. (2014) revealed that expectiles can also be seen as reasonable law-invariant risk measures. In this article, we show…
The peculiar uncertainty or randomness of quantum measurements stems from coherence, whose information-theoretic characterization is currently under investigation. Under the resource theory of coherence, it is interesting to investigate…
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our…
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on $L^0$ is fixed to characterize the family of…
Quantum coherence is a fundamental manifestation of the quantum superposition principle. Recently, Baumgratz \emph{et al}. [Phys. Rev. Lett. \textbf{113}, 140401 (2014)] presented a rigorous framework to quantify coherence from the view of…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
Topic models extract representative word sets - called topics - from word counts in documents without requiring any semantic annotations. Topics are not guaranteed to be well interpretable, therefore, coherence measures have been proposed…
Quantum coherence characterizes the non-classical feature of a single party system with respect to a local basis. Based on a recently introduced resource framework, coherence can be regarded as a resource and be systematically manipulated…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
We revisit the recently introduced concept of return risk measures (RRMs) and extend it by incorporating risk management via multiple so-called eligible assets. The resulting new class of risk measures, termed multi-asset return risk…
Quantum coherence was recently formalized as a physical resource to measure the strength of superposition. Based on the resource theory, we present a systematic framework that connects a coherence measure to the security of quantum key…
We introduce a procedure based on quantum expectation values of measurement observables to characterize quantum coherence. Our measure allows one to quantify coherence without having to perform tomography of the quantum state, and can be…
We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are It\^o semimartingales with jumps. The coefficient paths are…
Spectral risk measures (SRMs) belong to the family of coherent risk measures. A natural estimator for the class of SRMs has the form of L-statistics. Various authors have studied and derived the asymptotic properties of the empirical…
Reliability is an essential measure of how closely observed scores represent latent scores (reflecting constructs), assuming some latent variable measurement model. We present a general theoretical framework of reliability, placing emphasis…
This paper studies convergence of empirical risks in reproducing kernel Hilbert spaces (RKHS). A conventional assumption in the existing research is that empirical training data do not contain any noise but this may not be satisfied in some…