统计与数据科学系系列学术报告之三百八十四

时    间：2022年11月10日（周四）16:00-17:00

地    点：史带楼501室

主持人：黎德元 教授

题    目：E-backtesting

报告人：王若度 教授，University of Waterloo, Canada

摘    要：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 discuss how to use e-values and e-processes to backtest risk forecasts of VaR and ES, which can be naturally generalized to many other risk measures and statistical quantities.

报告人简介：Dr. Ruodu Wang is University Research Chair, Sun Life Fellow, and Professor of Actuarial Science and Quantitative Finance at the University of Waterloo in Canada. His scientific work has appeared in academic journals and conferences in various other fields, such as Management Science, Operations Research, The Annals of Statistics, Journal of the Royal Statistical Society Series B, and NeurIPS. Dr. Wang holds editorial positions in leading journals in actuarial science and mathematical economics, including Co-Editor of the European Actuarial Journal, and Co-Editor of ASTIN Bulletin - The Journal of the International Actuarial Association. He is the inaugural winner of the SOA Actuarial Science Early Career Award (2021) from the Society of Actuaries, and a Fellow of the Institute of Mathematical Statistics (elected 2022).

   统计与数据科学系

2022-11-8