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Pré-Publication, Document De Travail Année : 2022

Learning Value-at-Risk and Expected Shortfall

Résumé

We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and expected shortfall (ES) in a nonparametric setting using Rademacher and Vapnik-Chervonenkis bounds. Our approach for the VaR is extended to the problem of learning at once multiple VaRs corresponding to different quantile levels. This results in efficient learning schemes based on neural network quantile and least-squares regressions. An a posteriori Monte Carlo (non-nested) procedure is introduced to estimate distances to the ground-truth VaR and ES without access to the latter. This is illustrated using numerical experiments in a Gaussian toy-model and a financial case-study where the objective is to learn a dynamic initial margin.
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Dates et versions

hal-03775901 , version 1 (13-09-2022)

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D Barrera, S Crépey, E Gobet, Hoang-Dung Nguyen, B Saadeddine. Learning Value-at-Risk and Expected Shortfall. 2022. ⟨hal-03775901⟩
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