14 citations · 22 across the 4 of their papers we have counts for
4 papers
Vine Copulas as Differentiable Computational Graphs
Tuoyuan Cheng, Thibault Vatter, Thomas Nagler +1
Vine copulas are sophisticated models for multivariate distributions and are increasingly used in machine learning. To facilitate their integration into modern ML pipelines, we int…
Design-Life Levels for Flood Extremes: A Dependence-Aware Block-Maxima Workflow for Severity and Persistence
Tuoyuan Cheng, Xiao Peng, Achmad Choiruddin +2
Flood-risk assessment concerns the magnitude of maximum discharge over a design life and the clustering of extreme flows in time. Limited record length, extremal clustering, and pr…
A General Framework for Portfolio Construction Based on Generative Models of Asset Returns
Tuoyuan Cheng, Kan Chen
In this paper, we present an integrated approach to portfolio construction and optimization, leveraging high-performance computing capabilities. We first explore diverse pairings o…
Measuring Tail Risks
Kan Chen, Tuoyuan Cheng
Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail…