Risk measures: robustness, elicitability, and backtesting
Risk measures are used not only for financial institutions' internal risk management but also
for external regulation (eg, in the Basel Accord for calculating the regulatory capital …
for external regulation (eg, in the Basel Accord for calculating the regulatory capital …
Prediction based mean-value-at-risk portfolio optimization using machine learning regression algorithms for multi-national stock markets
The future performance of stock markets is the most crucial factor in portfolio creation. As
machine learning technique is advancing, new possibilities have opened up for …
machine learning technique is advancing, new possibilities have opened up for …
Higher order elicitability and Osband's principle
Higher order elicitability and Osband's principle Page 1 The Annals of Statistics 2016, Vol. 44,
No. 4, 1680–1707 DOI: 10.1214/16-AOS1439 © Institute of Mathematical Statistics, 2016 …
No. 4, 1680–1707 DOI: 10.1214/16-AOS1439 © Institute of Mathematical Statistics, 2016 …
A survey on gaps between mean-variance approach and exponential growth rate approach for portfolio optimization
Portfolio optimization can be roughly categorized as the mean-variance approach and the
exponential growth rate approach based on different theoretical foundations, trading logics …
exponential growth rate approach based on different theoretical foundations, trading logics …
[LIBRO][B] Basics and trends in sensitivity analysis: Theory and practice in R
In many fields, such as environmental risk assessment, agronomic system behavior,
aerospace engineering, and nuclear safety, mathematical models turned into computer code …
aerospace engineering, and nuclear safety, mathematical models turned into computer code …
What is the best risk measure in practice? A comparison of standard measures
S Emmer, M Kratz, D Tasche - arxiv preprint arxiv:1312.1645, 2013 - arxiv.org
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually
superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues …
superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues …
Elicitability and backtesting: Perspectives for banking regulation
Elicitability and backtesting: Perspectives for banking regulation Page 1 The Annals of Applied
Statistics 2017, Vol. 11, No. 4, 1833–1874 https://doi.org/10.1214/17-AOAS1041 © Institute of …
Statistics 2017, Vol. 11, No. 4, 1833–1874 https://doi.org/10.1214/17-AOAS1041 © Institute of …
Coherence and elicitability
JF Ziegel - Mathematical Finance, 2016 - Wiley Online Library
The risk of a financial position is usually summarized by a risk measure. As this risk measure
has to be estimated from historical data, it is important to be able to verify and compare …
has to be estimated from historical data, it is important to be able to verify and compare …
Entropic value-at-risk: A new coherent risk measure
A Ahmadi-Javid - Journal of Optimization Theory and Applications, 2012 - Springer
This paper introduces the concept of entropic value-at-risk (EVaR), a new coherent risk
measure that corresponds to the tightest possible upper bound obtained from the Chernoff …
measure that corresponds to the tightest possible upper bound obtained from the Chernoff …
Mean-VaR portfolio optimization: A nonparametric approach
Portfolio optimization involves the optimal assignment of limited capital to different available
financial assets to achieve a reasonable trade-off between profit and risk. We consider an …
financial assets to achieve a reasonable trade-off between profit and risk. We consider an …