Statistical learning of value-at-risk and expected shortfall

DOI10.1111/MAFI.70000MaRDI QIDQ6868288zbMATH OpenFDO

Authors David Barrera, Stéphane Crépey, Emmanuel Gobet, Hoang Dong Nguyen, Bouazza Saadeddine

Publication date 26 January 2026

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/MAFI.70000

zbMATH Keywords

expected shortfallneural networksnumerical financequantile crossingsquantile regressionvalue-at-risk

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Stochastic approximation (62L20) Neural nets and related approaches to inference from stochastic processes (62M45) Statistical methods; risk measures (91G70)

Cites work

• A distribution-free theory of nonparametric regression
• A joint quantile and expected shortfall regression framework
• An interior point algorithm for nonlinear quantile regression
• Estimation of extreme quantiles from heavy-tailed distributions with neural networks
• Foundations of machine learning
• Functional analysis, Sobolev spaces and partial differential equations
• Higher order elicitability and Osband's principle
• scientific article; zbMATH DE number 5957364 (Why is no real title available?)
• Learning Multiple Quantiles With Neural Networks
• Noncrossing quantile regression curve estimation
• Pathwise CVA regressions with oversimulated defaults
• Positive XVAs
• Quantile regression for longitudinal data
• Quantile regression forests
• Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case
• Risk estimation via regression
• Robust estimation and inference for expected shortfall regression with many regressors
• XVA analysis from the balance sheet

Cited in

(1)

• Navigating supply shocks: sector resilience and production prices through stochastic input-output modeling

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