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Found 7 papers, 0 papers with code
A novel scaling approach for unbiased adjustment of risk estimators
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails.
Utility-based acceptability indices
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions.
Estimating value at risk: LSTM vs. GARCH
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task.
Estimating and backtesting risk under heavy tails
While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias.
Discrete-time risk sensitive portfolio optimization with proportional transaction costs
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs.
Estimating and backtesting risk under heavy tails
While the {estimation} of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias.
Fair Estimation of Capital Risk Allocation
In this paper we develop a novel methodology for estimation of risk capital allocation.
