BP-CVaR: a novel model of estimating CVaR with back propagation algorithm

DOI10.1016/J.ECONLET.2021.110125MaRDI QIDQ824009zbMATH OpenOpenAlexFDO

Authors Gang-Jin Wang, Chun-Long Zhu

Publication date 14 December 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.110125

zbMATH Keywords

risk measureCVaRback propagationback-testingBP-CVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• VaR/CVaR estimation under stochastic volatility models
• Bayesian CV@R/super-quantile regression
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Index-exciting CAViaR: a new empirical time-varying risk model
• A research based on POT-CAViaR model of extreme risk measure

Cites work

• Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution

Cited in

(1)

• Forecasting systemic risk of China's banking industry by partial differential equations model and complex network

This page was built for publication: BP-CVaR: a novel model of estimating CVaR with back propagation algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q824009)