3 papers
math.ST2026
Survival Isotonic Distributional Regression
Martin Bladt, Alexander Henzi, Bram van den Heuvel +1
We introduce Survival-IDR (S-IDR), a nonparametric estimator of conditional survival distributions under order restrictions, extending Isotonic Distributional Regression (IDR; Henz…
q-fin.RM2026
E-backtesting
Qiuqi Wang, Ruodu Wang, Johanna Ziegel
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most imp…
math.ST2025
T-calibration in semi-parametric models
Anja Mühlemann, Johanna Ziegel
This note relates the calibration of models to the consistent loss functions for the target functional of the model. We demonstrate that a model is calibrated if and only if there…