3 citations · 5 across the 7 of their papers we have counts for
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cs.LG2020★ 1 cited
Encoded Value-at-Risk: A Predictive Machine for Financial Risk Management
Hamidreza Arian, Mehrdad Moghimi, Ehsan Tabatabaei +1
Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced arti…
econ.GN2020
The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold
Hamidreza Arian, Hossein Poorvasei, Azin Sharifi +1
Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for measuring the downside risk of investment portfolios, especially during financial crises. In t…