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q-fin.RM2026
Reliability-Aware ETF Tail-Risk Monitoring
Tenghan Zhong, Keyuan Wu
Daily ETF risk monitoring can become unreliable when market data quality degrades, market conditions shift, or predictive performance becomes unstable. This paper develops a reliab…
q-fin.RM2026
Marking-Aware Sequential VaR Recalibration for Standardized Option Books
Tenghan Zhong, Keyuan Wu
Daily Value-at-Risk (VaR) for option books requires more than an accurate quantile forecast. It first requires a precise definition of the loss target. Before any model is evaluate…