3 citations · 3 across the 5 of their papers we have counts for
6 papers
Lambda Expected Shortfall
Fabio Bellini, Muqiao Huang, Qiuqi Wang +1
The Lambda Value-at-Risk (Lambda-VaR) is a generalization of the Value-at-Risk (VaR), which has been actively studied in quantitative finance. Over the past two decades, the Expect…
Comparative e-backtests for general risk measures
Zhanyi Jiao, Qiuqi Wang, Yimiao Zhao
Backtesting risk measures is a central task in financial regulation. While standard backtests evaluate whether a forecasting model is statistically consistent with observed losses,…
E-backtesting
Qiuqi Wang, Ruodu Wang, Johanna Ziegel
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most imp…
Cash-subadditive risk measures without quasi-convexity
Xia Han, Qiuqi Wang, Ruodu Wang +1
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable…
Risk measures induced by efficient insurance contracts
Qiuqi Wang, Ruodu Wang, Ricardas Zitikis
The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets of axioms fr…
Optimizing distortion riskmetrics with distributional uncertainty
Silvana Pesenti, Qiuqi Wang, Ruodu Wang
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applie…