Decision Sciences
4 years ago

New model predicts worst-case financial risks for better market management.

arXiv (Cornell University)
calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty
Wentao Hu

Paper Summary

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The article discusses how to calculate worst-case Value-at-Risk using real data when there is uncertainty about which model to use. The researchers created a special model to simplify the possible models and used statistical methods to estimate parameters. They then calculated different risk measures for financial markets and compared their performance.