{"id":"W4406398694","doi":"10.3390/jrfm18010034","title":"Historical Simulation Systematically Underestimates the Expected Shortfall","year":2025,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Simulation Techniques and Applications","field":"Decision Sciences","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"Universidad de Zaragoza","keywords":"Econometrics; Computer science; Expected shortfall; Economics; Risk management; Finance","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.004410082,0.0004500386,0.0007251819,0.0009656796,0.0003066048,0.0009703176,0.0005964488,0.0007766966,0.001281903],"category_scores_gemma":[0.02430484,0.0002681909,0.0004466792,0.0007723402,0.0005131571,0.001426058,0.0006023849,0.0009118614,0.000288944],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004853591,"about_ca_system_score_gemma":0.0004847571,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002948458,"about_ca_topic_score_gemma":0.001655504,"domain_scores_codex":[0.9979925,0.0009041713,0.0001845101,0.0003337849,0.0004790591,0.0001058989],"domain_scores_gemma":[0.9774294,0.01779305,0.001544413,0.001746819,0.001292204,0.0001940953],"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":[0.00018435,0.00007397881,0.03169008,0.0002248422,0.000146644,0.0002136039,0.0001572858,0.9019908,0.004496331,0.01168608,0.001551205,0.04758488],"study_design_scores_gemma":[0.00001549098,0.00008617157,0.004735247,0.00005322407,0.00002579705,0.0001430824,0.00004218441,0.9813504,0.003449767,0.008497711,0.001576322,0.00002461074],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.5201356,0.001236306,0.4691288,0.0007595623,0.0001826501,0.0000700282,0.0004898328,0.001001134,0.006996078],"genre_scores_gemma":[0.9580675,0.0003797123,0.04022173,0.0001251282,0.00004190694,0.00004874735,0.0004290997,0.00008090356,0.0006052649],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.004410082,"threshold_uncertainty_score":0.02332306,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04593571651934442,"score_gpt":0.3627086330855366,"score_spread":0.3167729165661922,"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."}}