Implementation of a Commitment Machine for an Adaptive and Robust Expected Shortfall Estimation

Implementation of a Commitment Machine for an Adaptive and Robust Expected Shortfall Estimation

This study proposes a metaheuristic for the selection of models among different Expected Shortfall (ES) estimation methods. The proposed approach, denominated “Commitment Machine” (CM), has a strong focus on assets cross-correlation and allows to measure adaptively the ES, dynamically evaluating whi...

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Bibliographic Details
Main Authors: Marco Bagnato, Anna Bottasso, Pier Giuseppe Giribone
Format: Article
Language:English
Published: Frontiers Media S.A. 2021-08-01
Series:Frontiers in Artificial Intelligence
Subjects:
expected shortfall
monte carlo methods
stochastic differential equation
bayesian vector autoregressive
dynamic neural networks
nonlinear auto-regressive networks
Online Access:https://www.frontiersin.org/articles/10.3389/frai.2021.732805/full

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https://www.frontiersin.org/articles/10.3389/frai.2021.732805/full

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