7 papers
Non-Spanning Identification of Scheduled Event Risk in Option Pricing
Tenghan Zhong
Short-dated index options make scheduled macro-announcement risk visible in market prices, but visibility does not imply identification: a flexible no-event surface fitted to event…
Entropy-Regularized Certainty-Equivalent Bellman Policies for Risk-Sensitive Market Making
Tenghan Zhong
We study a finite-inventory risk-sensitive market making problem in which a dealer controls bid and ask quotes, faces Brownian midprice risk, and receives liquidity-taking orders t…
Risk-Sensitive Specialist Routing for Volatility Forecasting
Tenghan Zhong
Volatility forecasting becomes challenging when market conditions shift and model performance varies across market states. Motivated by this instability, we develop a risk-sensitiv…
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…
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…
Proxy-Reliance Control in Conformal Recalibration of One-Sided Value-at-Risk
Tenghan Zhong
We introduce a proxy-reliance-controlled conformal recalibration framework for one-sided Value-at-Risk (VaR), and study a question that existing state-aware methods do not usually…