2 papers
stat.ME2026
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…
q-fin.RM2026
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…