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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,051 papers · 148 categories

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6 results for “Fissler”

Supplement to "Erratum: Higher Order Elicitability and Osband's Principle"math.ST

Corrects conditions in Fissler and Ziegel's 2016 paper.

problem Clarifying conditions in Fissler and Ziegel's 2016 paper.

method None, as it is a correction of existing results.

result Corrects conditions in Proposition 3.4 and Theorem 5.2(ii) of Fissler and Ziegel (2016).

Erratum Fissler Ziegel 2016 Propositions

2019-01-25abs ↗pdf ↗

Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtestingq-fin.RM

In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of Fissler and Ziegel (2015) that ES is jointly elicitable with Valu…

2015-07-01abs ↗pdf ↗

Elicitability and Identifiability of Systemic Risk Measuresmath.ST

New methods identify and score systemic risk measures accurately.

problem Identifying and scoring systemic risk measures accurately.

method Constructing oriented selective identification functions to induce a mixture representation of strictly consistent scoring functions.

result Demonstrated the applicability of the constructed functions through a comprehensive simulation study.

systemic risk risk measures identification scoring functions forecast evaluation

2019-07-02abs ↗pdf ↗

Elicitability and identifiability of tail risk measuresq-fin.ST

Paper establishes identifiability and elicitability of tail risk measures.

problem Identifying and measuring tail risk measures accurately.

method Establishes identifiability and elicitability of tail risk measures using generators and quantiles.

result Joint identifiability and elicitability of tail risk measures and quantiles.

tail risk risk measures identifiability elicitability generators

2024-04-22abs ↗pdf ↗

Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approachq-fin.RM

A new method forecasts financial tail risks by combining and weighting quantiles.

problem Reducing uncertainty in financial tail risk forecasting.

method Two-step procedure: quantile combination followed by ES computation.

result The proposed framework outperforms individual models and simple approaches.

tail risk forecast combination quantile expected shortfall VaR

2021-04-11abs ↗pdf ↗

Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantilesq-fin.RM

New framework forecasts ES using weighted quantiles.

problem Forecasting Expected Shortfall (ES) in financial markets.

method Two-step procedure: VaR estimation through quantile regressions, ES computation as weighted average.

result Proposed models outperform other methods in stock market indices forecasting.

Expected Shortfall Quantile Regression Value-at-Risk Financial Forecasting Gaussian Process

2020-05-11abs ↗pdf ↗