报告时间：2022年5月18日

                下午19:00-20:00

报告地点：腾讯会议

（会议ID：376 723 427）

报告嘉宾：Ruodu Wang

报告主题：E-backtesting risk measures

报告摘要

E-backtesting risk measures

Expected Shortfall (ES) is the most important risk measure in finance and insurance. One of the most challenging tasks in risk modeling practice is to backtest ES forecasts provided by financial institutions, based only on daily realized portfolio losses without imposing specific models. Recently, the notion of e-values has gained attention as potential alternatives to p-values as measures of uncertainty, significance and evidence. We use e-values and e-processes to construct a model-free backtest of ES, which can be naturally generalized to many other risk measures and statistical quantities. This talk is based on on-going joint work with Qiuqi Wang (Waterloo) and Johanna Ziegel (Bern).

个人简介

Dr. Ruodu Wang is University Research Chair, Sun Life Fellow, and Associate Professor of Actuarial Science and Quantitative Finance at the University of Waterloo in Canada. He received his PhD in Mathematics (2012) from the Georgia Institute of Technology, after completing his Bachelor (2006) and Master’s (2009) degrees at Peking University. He holds editorial positions in leading journals in actuarial science and mathematical economics, including Co-Editor of the European Actuarial Journal, and Co-Editor of ASTIN Bulletin - The Journal of the International Actuarial Association. His scientific work has appeared in academic journals and conferences in various other fields, such as Management Science, Operations Research, The Annals of Statistics, Journal of the Royal Statistical Society Series B, and NeurIPS. He is an affiliated member of RiskLab at ETH Zurich. He is the inaugural winner of the SOA Actuarial Science Early Career Award (2021) from the Society of Actuaries, and a Fellow of the Institute of Mathematical Statistics (elected 2022).