{"id":"W2086041263","doi":"10.3905/jod.2005.580517","title":"Life after VaR","year":2005,"lang":"en","type":"article","venue":"The Journal of Derivatives","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":12,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Waterloo","funders":"","keywords":"Value at risk; Tail risk; Extreme value theory; Quantile; Econometrics; Expected shortfall; Economics; Time horizon; Measure (data warehouse); Coherent risk measure; Horizon; Vector autoregression; Cutoff; Actuarial science; Mathematics; Computer science; Statistics; Risk management; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001971507,0.001399936,0.0008031344,0.001553298,0.00133029,0.004482433,0.001033111,0.002365613,0.05065078],"category_scores_gemma":[0.009770276,0.0003988614,0.001110545,0.001567407,0.002141186,0.005146243,0.002190505,0.005010194,0.01882855],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001457853,"about_ca_system_score_gemma":0.001250638,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002470335,"about_ca_topic_score_gemma":0.001739851,"domain_scores_codex":[0.9983962,0.000435995,0.0001013138,0.0003857799,0.0005209902,0.0001597844],"domain_scores_gemma":[0.9963336,0.001427027,0.000314301,0.0006954623,0.0009519214,0.0002776579],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00007868432,0.00004865162,0.00113607,0.0001807932,0.0000666716,0.0002357271,0.0001905829,0.005874324,0.0006489131,0.7442908,0.09009915,0.1571497],"study_design_scores_gemma":[0.0000190344,0.0001112945,0.0008650235,0.0001702169,0.00002825974,0.0004802779,0.0001010265,0.009979984,0.001075813,0.5312293,0.455862,0.00007783723],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01199355,0.04114594,0.5761929,0.03758863,0.01903326,0.00013499,0.002495454,0.004235454,0.3071798],"genre_scores_gemma":[0.351381,0.03171608,0.1261967,0.02070586,0.01706066,0.0003195531,0.003485018,0.004412142,0.4447231],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.05065078,"threshold_uncertainty_score":0.1694437,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05866248080212996,"score_gpt":0.3579669452314382,"score_spread":0.2993044644293082,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}