[Statlist] Reminder: ETH Young Data Science Researcher Seminar Zurich - virtual seminar with Qiuqi Wang, University of Waterloo - Thursday, 17 November 2022

[Maurer Letizia]

We are glad to announce the following virtual talk in the ETH Young Data Science Researcher Seminar Zurich

"E-​backtesting risk measures“  
by Qiuqi Wang, University of Waterloo

Date and Time: Thursday, 17 November 2022, 16:00-17:00 (Zurich time)
Place:  Zoom at https://ethz.zoom.us/j/68998616059

Abstract: In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-​at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most challenging tasks in risk modeling practice is to backtest ES forecasts provided by financial institutions. Ideally, backtesting should be done 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 backtesting procedure for ES using a concept of universal e-​statistics, which can be naturally generalized to many other risk measures and statistical quantities.
Organisers: Alexander Henzi, Michael Law, Xinwei Shen


Seminar website: https://math.ethz.ch/sfs/news-and-events/young-data-science.html

Young Data Science Researcher Seminar Zurich – Seminar for Statistics | ETH Zurich
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