4 citations · 12 across the 16 of their papers we have counts for
8 papers · 1 filter
Coherent estimation of risk measures
Martin Aichele, Igor Cialenco, Damian Jelito +1
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the ec…
A novel scaling approach for unbiased adjustment of risk estimators
Marcin Pitera, Thorsten Schmidt, Łukasz Stettner
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estim…
Utility-based acceptability indices
Marcin Pitera, Miklós Rásonyi
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the…
Estimating value at risk: LSTM vs. GARCH
Weronika Ormaniec, Marcin Pitera, Sajad Safarveisi +1
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task. Typically, we face a small data problem in combination with a high…
Estimating and backtesting risk under heavy tails
Marcin Pitera, Thorsten Schmidt
While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. T…
Estimating and backtesting risk under heavy tails
Marcin Pitera, Thorsten Schmidt
While the {estimation} of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias.…