6 papers · 1 filter
E-Backtesting Expected Shortfall without Value-at-Risk Forecasts under Time-series Models
Ruodu Wang, Jingcheng Yu
Expected Shortfall (ES) measures the average size of tail losses. Its sequential backtests typically also require a Value-at-Risk (VaR) forecast. We develop two e-backtesting metho…
Equilibrium in closed constant-function market maker economies
Muqiao Huang, Ruodu Wang, Yiyun Wang
We study equilibria in a closed, fee-free constant-function market maker (CFMM) economy with two assets and two agents. An interior state is a unilateral no-trade equilibrium exact…
Confidence intervals for causal effects in sequential decision making
Vladimir Vovk, Ruodu Wang
We derive confidence intervals and confidence sequences for causal effects in situations where the back-door criterion is applicable. Our tightest confidence intervals hold in the…
Submodular risk measures
Ruodu Wang, Jingcheng Yu
We study submodularity for law-invariant functionals, with particular attention to convex risk measures. Expected losses are modular, and certainty equivalents are submodular exact…
Adaptive Window Selection for Financial Risk Forecasting
Yinhuan Li, Chenxin Lyu, Ruodu Wang
Risk forecasts in financial regulation and internal management are calculated through historical data. The unknown structural changes of financial data pose a substantial challenge…
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…