{"id":"W3195282591","doi":"10.2139/ssrn.3221207","title":"Generalized Value at Risk Forecasting","year":2018,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Manitoba","funders":"","keywords":"Value at risk; Econometrics; Value (mathematics); Economics; Actuarial science; Financial economics; Mathematics; 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":[0.001309636,0.0006028595,0.001084763,0.0007336921,0.0003363465,0.001785538,0.0009389879,0.001342169,0.002766917],"category_scores_gemma":[0.006361473,0.000345589,0.0006955562,0.001004304,0.0006511271,0.002042765,0.000779606,0.001658355,0.0004623752],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0006336436,"about_ca_system_score_gemma":0.0006310669,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003154242,"about_ca_topic_score_gemma":0.00212614,"domain_scores_codex":[0.9995395,0.0001874912,0.00001708575,0.0001115564,0.00009489303,0.00004964006],"domain_scores_gemma":[0.9978655,0.001245011,0.0002186437,0.0002915332,0.0002746867,0.0001046442],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00007560025,0.00002909395,0.002369076,0.0000442627,0.00009002668,0.0001143537,0.000065974,0.8093379,0.0009526153,0.1217813,0.003509471,0.06163035],"study_design_scores_gemma":[0.00000270329,0.000006454713,0.0002869927,0.000004242323,0.000005116784,0.000008974252,0.000003818009,0.9515332,0.0001009396,0.04770692,0.000335093,0.000005511498],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1434364,0.001567987,0.8433114,0.00146415,0.0004459276,0.00003548829,0.0002736495,0.000632434,0.008832635],"genre_scores_gemma":[0.9447517,0.0006276772,0.04593306,0.000112761,0.0002567445,0.00002374787,0.000363267,0.00009854394,0.007832467],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003154242,"threshold_uncertainty_score":0.009256244,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03232817823205621,"score_gpt":0.2282019048641185,"score_spread":0.1958737266320623,"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."}}