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cs.LG2024
Kolmogorov Arnold Networks in Fraud Detection: Bridging the Gap Between Theory and Practice
Yang Lu, Felix Zhan
This study evaluates the applicability of Kolmogorov-Arnold Networks (KAN) in fraud detection, finding that their effectiveness is context-dependent. We propose a quick decision ru…
q-fin.RM2024
Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials
Sullivan Hué, Christophe Hurlin, Yang Lu
We propose an original two-part, duration-severity approach for backtesting Expected Shortfall (ES). While Probability Integral Transform (PIT) based ES backtests have gained popul…