Results 21 to 30 of about 452 (248)
On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles
Risks, 2018 This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk.
James Ming Chen
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Dependence Uncertainty Bounds for the Expectile of a Portfolio
Risks, 2015 We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified.
Edgars Jakobsons, Steven Vanduffel
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Proceedings of the AAAI Conference on Artificial Intelligence, 2015 We study the problem of eliciting and aggregating probabilistic information from multiple agents. In order to successfully aggregate the predictions of agents, the principal needs to elicit some notion of confidence from agents, capturing how much experience or knowledge led to their predictions.
Frongillo, Rafael M +2 more
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Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability
, 2023 Systemic risk measures such as CoVaR, CoES and MES are widely-used in finance, macroeconomics and by regulatory bodies. Despite their importance, we show that they fail to be elicitable and identifiable.
Yannick Hoga (4573132) +1 more
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Multivariate extensions of expectiles risk measures
Dependence Modeling, 2017 This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures.
Maume-Deschamps Véronique +2 more
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Dynamic Belief Elicitation [PDF]
Econometrica, 2021 At an initial time, an individual forms a belief about a future random outcome. As time passes, the individual may obtain, privately or subjectively, further information, until the outcome is eventually revealed. How can a protocol be devised that induces the individual, as a strict best response, to reveal at the outset his prior assessment of both ...
Chambers, Christopher P. +1 more
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Elicitator: An expert elicitation tool for regression in ecology
Environmental Modelling & Software, 2010 Expert elicitation is the process of retrieving and quantifying expert knowledge in a particular domain. Such information is of particular value when the empirical data is expensive, limited or unreliable. This paper describes a new software tool, called Elicitator, which assists in quantifying expert knowledge in a form suitable for use as a prior ...
Allan R. James +2 more
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Eliciting Coordination with Rebates
Transportation Science, 2009 This article considers a mechanism based on rebates that aims at reducing congestion in urban networks. The framework helps select rebate levels so that enough commuters switch to modes that are under used. Indeed, getting a relative small number of drivers to switch to public transportation can significantly improve congestion.
Patrick Maillé, Nicolás E. Stier Moses
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Bayesian Elicitation Diagnostics [PDF]
Econometrica, 1992 An elicitation diagnostic forms a question that compares the information in the prior distribution with the information in the given sample. This paper presents one elicitation diagnostic which identifies a family of prior distributions that are practically equivalent to the completely diffuse prior.
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