Expected Shortfall Reliability—Added Value of Traditional Statistics and Advanced Artificial Intelligence for Market Risk Measurement Purposes
نویسندگان
چکیده
The Fundamental Review of the Trading Book is a market risk measurement and management regulation recently issued by Basel Committee. This reform, often referred to as “Basel IV”, intends strengthen financial system. newest capital standard relies on use Expected Shortfall. measure requires get sufficient information in tails ensure its reliability, this one has be alimented quantity relevant data (above 97.5 percentile case or interest). In paper, after discussing features Shortfall for purposes, we present compare several methods allowing reliability generating tails. We discuss these approaches with respect their relevance considering underlying situation when it comes available data, practitioners select most appropriate approach. apply traditional statistical methodologies, instance distribution fitting, kernel density estimation, Gaussian mixtures conditional fitting Expectation-Maximisation well AI related strategies, Synthetic Minority Over-sampling Technique implemented regression environment Generative Adversarial Nets.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math9172142