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.
Corrects conditions in Fissler and Ziegel's 2016 paper.
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…
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a direct consequence, we are …
Paper establishes identifiability and elicitability of tail risk measures.
A new method forecasts financial tail risks by combining and weighting quantiles.
New framework forecasts ES using weighted quantiles.