Risk functionals with convex level sets

DOI10.1111/MAFI.12270MaRDI QIDQ5855959zbMATH OpenOpenAlexFDO

Authors Ruodu Wang, Yunran Wei

Publication date 23 March 2021

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12270

zbMATH Keywords

backtestabilityconvex level setselicitabilityexpected shortfallquantiles

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cited in

(19)

• Risk bounds with additional information on functionals of the risk vector
• Scoring interval forecasts: equal-tailed, shortest, and modal interval
• Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
• On the elicitability of range value at risk
• Estimating covariate functions associated to multivariate risks: a level set approach
• Risk measures with the CxLS property
• Distortion riskmetrics on general spaces
• Bayes risk, elicitability, and the Expected Shortfall
• Exchangeable Bernoulli distributions: high dimensional simulation, estimation, and testing
• One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles
• Sensitivity measures based on scoring functions
• Estimation of the adjusted standard-deviatile for extreme risks
• Risk concentration and the mean-expected shortfall criterion
• Risk budgeting portfolios: existence and computation
• Risk sharing, measuring variability, and distortion riskmetrics
• Probabilistic risk aversion for generalized rank-dependent functions
• Asset and Factor Risk Budgeting: a balanced approach
• Risk measures based on target risk profiles
• Elicitability and identifiability of tail risk measures

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