Related papers: Comparative e-backtests for general risk measures
Quantiles and expected shortfalls are commonly used risk measures in financial risk management. The two measurements are correlated while have distinguished features. In this project, our primary goal is to develop stable and practical…
We propose a distributional framework for benchmarking socio-technical risks of foundation models with quantified statistical significance. Our approach hinges on a new statistical relative testing based on first and second order stochastic…
We perform a quantitative analysis of the gain/loss asymmetry for financial time series by using a Bayesian approach. In particular, we focus on some selected indices and analyze the statistical significance of the asymmetry amount through…
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…
Context: The complexity of modern safety-critical systems in industries keep on increasing due to the rising number of features and functionalities. This calls for formal methods in order to entrust confidence in such systems. Nevertheless,…
We revisit the classical problem of comparing regression functions, a fundamental question in statistical inference with broad relevance to modern applications such as data integration, transfer learning, and causal inference. Existing…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
Randomized controlled experiments assess new policy impacts on performance metrics to inform launch decisions. Traditional approaches evaluate metrics independently despite correlations, and mixed results (e.g., positive revenue impact,…
The entropic risk measure is widely used in high-stakes decision-making across economics, management science, finance, and safety-critical control systems because it captures tail risks associated with uncertain losses. However, when data…
The paper proposes a novel model assessment paradigm aiming to address shortcoming of posterior predictive $p-$values, which provide the default metric of fit for Bayesian structural equation modelling (BSEM). The model framework of the…
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…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…
The rapid growth of e-commerce has made people accustomed to shopping online. Before making purchases on e-commerce websites, most consumers tend to rely on rating scores and review information to make purchase decisions. With this…
We consider a patient risk models which has access to patient features such as vital signs, lab values, and prior history but does not have access to a patient's diagnosis. For example, this occurs in a model deployed at intake time for…
Split-plot or repeated measures designs are frequently used for planning experiments in the life or social sciences. Typical examples include the comparison of different treatments over time, where both factors may possess an additional…
The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move beyond the class of convex risk measures considered in…
This paper fundamentally reformulates economic and financial theory to include electronic currencies. The valuation of the electronic currencies will be based on macroeconomic theory and the fundamental equation of monetary policy, not the…
Evaluation beyond aggregate performance metrics, e.g. F1-score, is crucial to both establish an appropriate level of trust in machine learning models and identify future model improvements. In this paper we demonstrate CrossCheck, an…
Metrics and frameworks to quantifiably assess security measures have arisen from needs of three distinct research communities - statistical measures from the intrusion detection and prevention literature, evaluation of cyber exercises,…