Ruodu Wang - Colloquium Speaker

Associate Professor and University Research Chair, Department of Statistics and Actuarial Science, University of Waterloo
Thursday, November 11, 2021 - 3:15pm
Colloquium Title: 
E-Backtesting Risk Measures


Expected Shortfall (ES) is the most important risk measure in finance and insurance. One of the most challenging tasks in risk modeling practice is to backtest ES forecasts provided by financial institutions, based only on daily realized portfolio losses without imposing specific models. Recently, the notion of e-values has gained attention as potential alternatives to p-values as measures of uncertainty, significance and evidence. We use e-values and e-processes to construct a model-free backtest of ES, which can be naturally generalized to many other risk measures and statistical quantities. This talk is based on ongoing joint work with Qiuqi Wang (Waterloo) and Johanna Ziegel (Bern). 


Topic: Colloquia: Department of Statistics and Actuarial Science, The University of Iowa

Time: November 11, 2021 03:15 PM Central Time (US and Canada)

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Meeting ID: 989 2869 3758