相关论文: Conditional Tail-Related Risk Estimation Using Com…

We propose a risk-averse statistical learning framework wherein the performance of a learning algorithm is evaluated by the conditional value-at-risk (CVaR) of losses rather than the expected loss. We devise algorithms based on stochastic…

Empirical likelihood is a well-known nonparametric method in statistics and has been widely applied in statistical inference. The method has been employed by Lu and Peng (2002) to constructing confidence intervals for the tail index of a…

Excellent tail performance is crucial for modern machine learning tasks, such as algorithmic fairness, class imbalance, and risk-sensitive decision making, as it ensures the effective handling of challenging samples within a dataset. Tail…

This study examines the interdependence between cryptocurrencies and international financial indices, such as MSCI World and MSCI Emerging Markets. We compute the value at risk, expected shortfall (ES), and range value at risk (RVaR) and…

Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are…

This paper develops a large-scale inference approach for the regularization of stock return covariance matrices. The framework allows for the presence of heavy tails and multivariate GARCH-type effects of unknown form among the stock…

This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…

This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) formulation for modeling the daily price ranges of financial assets. It is assumed that the process generating the conditional expected ranges at each…

Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various…

This paper proposes the asymmetric linear double autoregression, which jointly models the conditional mean and conditional heteroscedasticity characterized by asymmetric effects. A sufficient condition is established for the existence of a…

Expectile regression is a nice tool for investigating conditional distributions beyond the conditional mean. It is well-known that expectiles can be described with the help of the asymmetric least square loss function, and this link makes…

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…

In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital. The proposed approach extends the…

Instrumental variable (IV) analysis is widely used in fields such as economics and epidemiology to address unobserved confounding and measurement error when estimating the causal effects of intermediate covariates on outcomes. However,…

Accurate forecasting of the Volatility-Covariance Matrix (VCV) is central to regulatory capital adequacy processes such as the Internal Capital Adequacy Assessment Process (ICAAP) and the Comprehensive Capital Analysis and Review (CCAR).…

Given measurements from sensors and a set of standard forces, an optimization based approach to identify weakness in structures is introduced. The key novelty lies in letting the load and measurements to be random variables. Subsequently…

As an effective nonparametric method, empirical likelihood (EL) is appealing in combining estimating equations flexibly and adaptively for incorporating data information. To select important variables and estimating equations in the sparse…

Value-at-Risk (VaR) estimation at high confidence levels is inherently a rare-event problem and is particularly sensitive to tail behavior and model misspecification. This paper studies the performance of two simulation-based VaR estimation…

In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most…

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…