Portfolio Value at Risk Bounds Using Extreme Value Theory
Bibliographic record
Abstract
The aim of this paper is to apply a semi-parametric methodology developed by Mesfioui and Quessy (2005) to derive the Value-at-Risk (VaR) bounds for portfolios of possibly dependent financial assets when the marginal return distribution is in the domain of attraction of the generalized extreme value distribution while the dependence structure between financial assets remains unknown. However, These bounds are very sensitive to location changes and depend heavily on the actual location. Modified VaR bounds are derived through an extension of the Vermaat, Does and Steerneman (2005) contribution on quantile estimation of large order to a multivariate setting which enjoy the interesting property of location invariance. Empirical studies for several market indexes are carried out to illustrate our approach.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.008 | 0.031 |
| Meta-epidemiology (narrow) | 0.002 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.002 |
| Bibliometrics | 0.003 | 0.002 |
| Science and technology studies | 0.000 | 0.002 |
| Scholarly communication | 0.003 | 0.005 |
| Open science | 0.002 | 0.004 |
| Research integrity | 0.002 | 0.005 |
| Insufficient payload (model declined to judge) | 0.004 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".