Abstract:

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). 

ZOOM INVITATION

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

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

Join Zoom Meeting

https://uiowa.zoom.us/j/98928693758

Meeting ID: 989 2869 3758

One tap mobile

+13126266799,,98928693758# US (Chicago)

+16468769923,,98928693758# US (New York)

Dial by your location

        +1 312 626 6799 US (Chicago)

        +1 646 876 9923 US (New York)

        +1 301 715 8592 US (Washington DC)

        +1 346 248 7799 US (Houston)

        +1 669 900 6833 US (San Jose)

        +1 253 215 8782 US (Tacoma)

Meeting ID: 989 2869 3758

Find your local number: https://uiowa.zoom.us/u/adodl1V2PF

Join by SIP

98928693758@zoomcrc.com

Join by H.323

162.255.37.11 (US West)

162.255.36.11 (US East)

115.114.131.7 (India Mumbai)

115.114.115.7 (India Hyderabad)

213.19.144.110 (Amsterdam Netherlands)

213.244.140.110 (Germany)

103.122.166.55 (Australia Sydney)

103.122.167.55 (Australia Melbourne)

64.211.144.160 (Brazil)

69.174.57.160 (Canada Toronto)

65.39.152.160 (Canada Vancouver)

207.226.132.110 (Japan Tokyo)

149.137.24.110 (Japan Osaka)

Meeting ID: 989 2869 3758