相关论文: Can Generalized Extreme Value Model Fit the Real S…

This paper presents a new method to assess default risk based on applying the CEV process to the KMV model. We find that the volatility of the firm asset value may not be a constant, so we assume the firm's asset value dynamics are given by…

In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional…

We search for the signature of universal properties of extreme events, theoretically predicted for Axiom A flows, in a chaotic and high dimensional dynamical system by studying the convergence of GEV (Generalized Extreme Value) and GP…

Generalized cross-validation (GCV) is a widely-used method for estimating the squared out-of-sample prediction risk that employs a scalar degrees of freedom adjustment (in a multiplicative sense) to the squared training error. In this…

Impact assessment of natural hazards requires the consideration of both extreme and non-extreme events. Extensive research has been conducted on the joint modeling of bulk and tail in univariate settings; however, the corresponding body of…

In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…

In a companion paper (McRobie(2013) arxiv:1304.3918), a simple set of `elemental' estimators was presented for the Generalized Pareto tail parameter. Each elemental estimator: involves only three log-spacings; is absolutely unbiased for all…

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up…

Classification tasks usually assume that all possible classes are present during the training phase. This is restrictive if the algorithm is used over a long time and possibly encounters samples from unknown classes. The recently introduced…

Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unknown spectral measure supported on the unit simplex. The…

In the information system research, a question of particular interest is to interpret and to predict the probability of a firm to adopt a new technology such that market promotions are targeted to only those firms that were more likely to…

The use of machine learning to generate synthetic data has grown in popularity with the proliferation of text-to-image models and especially large language models. The core methodology these models use is to learn the distribution of the…

Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These…

In this work, we study the value of an Asian option in the case of exponential Levy markets. More specifically, we are interested in the NIG (normal inverse Gaussian) the VG (variance gamma) models. The exponential Levy models produce…

As the increasing application of AI in finance, this paper will leverage AI algorithms to examine tail risk and develop a model to alter tail risk to promote the stability of US financial markets, and enhance the resilience of the US…

Based on the commentary data of the Shenzhen Stock Index bar on the EastMoney website from January 1, 2018 to December 31, 2019. This paper extracts the embedded investor sentiment by using a deep learning BERT model and investigates the…

Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of…

The popular systemic risk measure CoVaR (conditional Value-at-Risk) and its variants are widely used in economics and finance. In this article, we propose joint dynamic forecasting models for the Value-at-Risk (VaR) and CoVaR. The CoVaR…

Extreme value distributions are routinely employed to assess risks connected to extreme events in a large number of applications. They typically are two- or three- parameter distributions: the inference can be unstable, which is…

We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against incorrect model assumptions underlying the application of…