{"id":44484,"date":"2023-01-17T14:36:39","date_gmt":"2023-01-17T19:36:39","guid":{"rendered":"https:\/\/engineering.jhu.edu\/ams\/?post_type=tribe_events&#038;p=44484"},"modified":"2023-02-03T14:33:14","modified_gmt":"2023-02-03T19:33:14","slug":"ams-weekly-seminar-phd-candidate-qiuqi-wang","status":"publish","type":"tribe_events","link":"https:\/\/engineering.jhu.edu\/ams\/event\/ams-weekly-seminar-phd-candidate-qiuqi-wang\/","title":{"rendered":"AMS Weekly Seminar | Qiuqi Wang"},"content":{"rendered":"<div>\n<p><strong><span>Location:\u00a0<\/span><\/strong><span>Gilman 132<\/span><\/p>\n<\/div>\n<div>\n<p><strong><span>When: <\/span><\/strong>February 9th at 1:30 p.m.<span><\/span><\/p>\n<\/div>\n<div>\n<p><strong><span>Title:\u00a0<\/span><\/strong><span>E-backtesting risk measures<\/span><\/p>\n<\/div>\n<div>\n<p><strong><span>Abstract:\u00a0<\/span><\/strong><span>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. To design a model-free backtesting procedure for ES, we make use of the recently developed techniques of e-values and e-processes. Model-free e-statistics are introduced to formulate e-processes for risk measure forecasts, and unique forms of model-free e-statistics for VaR and ES are characterized using recent results on identification functions. For a given model-free e-statistic, optimal ways of constructing the e-processes are studied. The proposed method can be naturally applied to many other risk measures and statistical quantities. We conduct extensive simulation studies and data analysis to illustrate the advantages of the model-free backtesting method, and compare it with the ones in the literature. Other work during my PhD on optimizing and characterizing risk measures will also be presented.<\/span><\/p>\n<\/div>\n<p><strong>Zoom link: <\/strong>https:\/\/wse.zoom.us\/j\/95738965246<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Location:\u00a0Gilman 132 When: February 9th at 1:30 p.m. Title:\u00a0E-backtesting risk measures Abstract:\u00a0In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for&hellip;<\/p>\n","protected":false},"author":69,"featured_media":0,"template":"","meta":{"_acf_changed":false,"_relevanssi_hide_post":"","_relevanssi_hide_content":"","_relevanssi_pin_for_all":"","_relevanssi_pin_keywords":"","_relevanssi_unpin_keywords":"","_relevanssi_related_keywords":"","_relevanssi_related_include_ids":"","_relevanssi_related_exclude_ids":"","_relevanssi_related_no_append":"","_relevanssi_related_not_related":"","_relevanssi_related_posts":"","_relevanssi_noindex_reason":"","_tribe_events_status":"","_tribe_events_status_reason":"","footnotes":""},"tags":[],"tribe_events_cat":[260],"class_list":["post-44484","tribe_events","type-tribe_events","status-publish","hentry","tribe_events_cat-seminars-and-endowed-lectures","cat_seminars-and-endowed-lectures"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.7 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>AMS Weekly Seminar | Qiuqi Wang | Department of Applied Mathematics and Statistics<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/engineering.jhu.edu\/ams\/event\/ams-weekly-seminar-phd-candidate-qiuqi-wang\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"AMS Weekly Seminar | Qiuqi Wang | Department of Applied Mathematics and Statistics\" \/>\n<meta property=\"og:description\" content=\"Location:\u00a0Gilman 132 When: February 9th at 1:30 p.m. Title:\u00a0E-backtesting risk measures Abstract:\u00a0In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for&hellip;\" \/>\n<meta property=\"og:url\" content=\"https:\/\/engineering.jhu.edu\/ams\/event\/ams-weekly-seminar-phd-candidate-qiuqi-wang\/\" \/>\n<meta property=\"og:site_name\" content=\"Department of 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