2 papers
q-fin.RM2026
Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
Bingzhen Geng, Yang Liu, Yimiao Zhao
Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for…
stat.ME2026
Comparative e-backtests for general risk measures
Zhanyi Jiao, Qiuqi Wang, Yimiao Zhao
Backtesting risk measures is a central task in financial regulation. While standard backtests evaluate whether a forecasting model is statistically consistent with observed losses,…