17 citations · 37 across the 22 of their papers we have counts for
6 papers · 1 filter
Estimating value at risk: LSTM vs. GARCH
Weronika Ormaniec, Marcin Pitera, Sajad Safarveisi +1
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task. Typically, we face a small data problem in combination with a high…
Estimating and backtesting risk under heavy tails
Marcin Pitera, Thorsten Schmidt
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. T…
Robust deep hedging
Eva Lütkebohmert, Thorsten Schmidt, Julian Sester
We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as we…
Estimating and backtesting risk under heavy tails
Marcin Pitera, Thorsten Schmidt
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
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera +1
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but trac…
Unbiased estimation of risk
Marcin Pitera, Thorsten Schmidt
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a…