Questions tagged [risk]
The risk tag has no usage guidance.
143
questions
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38 views
Expected Shortfall for ARMA-GARCH two day forecast
I need to find the 99% confidence expected shortfall (CVaR) for a long position of 100 dollars at time $t$ for an asset with returns modeled by an ARMA(1,1)-GARCH(1,1) model with $r_t = θr_{t−1} + u_t ...
0
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0answers
22 views
What are the “risk model” and the ‘‘effect models’’ in the context of survival analysis?
In this article of van Klaveren, David, et al. "Models with interactions overestimated heterogeneity of treatment effects and were prone to treatment mistargeting." Journal of clinical epidemiology (...
5
votes
1answer
155 views
Inconsistent Empirical Risk Minimization procedure, but why?
Given a random variable $Y$ and the typical squared loss function:
$$L(Y,\hat{Y}) = (Y-\hat{Y})^2$$
the minimizer for expected loss $E[L(Y,\hat{Y})]$ is know to be the mean, $\hat{Y} = E[Y] = \mu$.
...
1
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0answers
24 views
Calculating risk score
I'm trying to construct a medical risk score. I was given some advice by a statistician and they said that one of the stages after the variable selection stage is to take the regression coefficients ...
0
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0answers
18 views
Calculate Variance of Relative Risk?
In my book it shows how to get the variance of an odd ratio, but I am trying to get it for relative risk of the simple logistic model of logit(pi) = B0 + B1(x1) where x1 can be either 0 or 1.
I know ...
0
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0answers
17 views
$L_1$ vs $L_2$ loses in cross-validation
In which case one would estimate the performance of, let's say, regression, using $L_1$ loss function and in which case $L_{2}$ is better?
I know that $L_{1}$ is more robust in a sense that it is ...
0
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0answers
25 views
Probability that the expectation lies in an interval
I am trying to solve the first one of these exercises:
The zero-one loss is 1 if a sample is misclassified and 0 if it classified correctly.
The empirical risk is the sample mean of the loss. The ...
0
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0answers
34 views
Compute the Risk function
Suppose we are given $(X_1,...,X_n)$ random variables which are iid. from $\mathcal{N}(\mu,\theta)$ and finite variance. Let $Y=\frac{1}{n}\sum_{i=1}^n(X_i-\overline X)^2$ and define a loss function $...
0
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1answer
25 views
Definitions of VaR (Value at Risk)
Here is the definition of VaR (Value at Risk) taken from McNeil, Alexander J., Rüdiger Frey and Paul Embrechts (2015), Quantitative risk
management: Concepts, techniques and tools:
$$
\textrm{VaR}_{\...
0
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0answers
44 views
Normal probability of default vs conditional forward default PD
Hi everyone, is the diagram correct in calculating foward PD(conditional default) ? Or should the formula be
Probability of default = probability of survival x forward PD
Whatcha of this is equal ...
0
votes
0answers
8 views
Risk adjustments for outliers with extreme consequences
I have a vague memory of an adjustment to expected value calculations to account for highly improbable events with extreme outcomes.
An example is the lottery. The odds of hitting it are ...
0
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0answers
22 views
How to calculate the reclassification calibration statistic (RC statistic)?
In risk prediction models there is a need to evaluate the added diagnostic value of a new variable (biomarker). Different measures have been suggested, among them there is the reclassification ...
0
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0answers
21 views
Admissible and Inadmissible actions
Consider the following loss matrix.
$\begin{array}{|c|c|c|c|}
\hline
& \alpha_1 & \alpha_2 & \alpha_3 \\ \hline
\theta_1 & 1000& -300& 4000\\ \hline
\theta_2 & -1000&...
0
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0answers
11 views
Approaches for a “risk segmentation” applied to auto insurance
I wonder about approaches for a risk segmentation applied to auto insurance. i.e.
Suppose I have all the states within United States, and I wanna say: "Ok, Alaska and Alabama belong to group 1; ...
0
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0answers
13 views
Providing Statistical evidence that credit portfolios have different risk behaviour
I work in the risk department of a credit company and I was asked to analyse and bring some statistical evidence that two portfolios have different risk behaviour. So, my goal is to find if, for ...
0
votes
1answer
34 views
Accidents as precursors of condition: how does that fit with Bayesian inference?
I'm currently trying to identify what approach should I use for my problem. I want to make a risk assessment for each subject having or not a specific condition C (5% of prevalence), sample size ...
0
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1answer
21 views
Predicting risk factors
i'm trying to find predictive risk factors
i already found out that young age at diagnosis is a risk factor ( binary logistic regression) But now i want to know the exact age when the risk is highest....
2
votes
0answers
29 views
Characterization of risk factors for a very rare condition
I am looking at a cohort of patients including 13000 patients, out of which only 160 have condition A. Out of these patients, only 6 have condition B. I would like to be able to characterize those ...
1
vote
0answers
12 views
Independent and Identically distributed random variables with value at risk [duplicate]
Suppose that $W_1$ and $W_2$ are i.i.d. and $P(W_i>x)=x^{-1/2}$ and $x$ is greater than or equal to $1$ and $i=1,2.$ How do you show that $P(W_1+W_2>x)=(2\sqrt{x-1})/x$? I know it involves ...
0
votes
0answers
39 views
How should I interpret a weighted genetic risk score?
I created a weighted Genetic Risk Score (GRS) by summing the product of the SNP-dosages times their regression coefficients from the GWAS in which I found them. So:
...
56
votes
9answers
20k views
Is it wrong to rephrase “1 in 80 deaths is caused by a car accident” as “1 in 80 people die as a result of a car accident?”
Statement One (S1): "One in 80 deaths is caused by a car accident."
Statement Two (S2): "One in 80 people dies as a result of a car accident."
Now, I personally don't see very much difference at all ...
1
vote
1answer
36 views
Whats is the difference between using risk() and cvrisk() in the R package mboost
I am currently running an additive model using the function gamboost() in the package mboost. When using the ...
3
votes
0answers
28 views
Bounds for the expected value of the Kolmogorov-Smirnoff loss function
Let
$$
\mathcal{F}=\{F:\mathbb{R}\longrightarrow\mathbb{R}: \text{$F$ is the CDF of some probability measure on $\mathbb{R}$}\}.
$$
Consider the loss function, $L:\mathcal F\times\mathcal F\to\mathbb ...
1
vote
0answers
93 views
Equity Risk Model using an autoencoder
I am trying to create a statistical equity risk model using an autoencoder in a similar fashion to how one would use PCA to derive the systematic and specific risk components of a stock's returns. I ...
1
vote
0answers
69 views
RiskMetrics VAR calculations and conditional distribution of sum of log returns
According to Tsay's book in Chapter 7, for the Risk Metrics model:
A nice property of such a special random-walk IGARCH model is that the
conditional distribution of a multiperiod return is ...
1
vote
0answers
37 views
Using Keras NN to predict risk
Question
What is the best activation to use for a keras NN predicting risk of a single binary outcome? Is it sigmoid? And are there some approaches I can use to ...
0
votes
1answer
728 views
How is True risk equal to the expected value of the empirical risk?
We know that the empirical risk is :
$L_s = \frac{1}{n} \sum_{i=1}^{n} l(f(x_i),z_i)$
where, $n$ = number of samples,$l(f(x),z)$ is a loss function, $S = (z_1,...,z_n)$ are the provided samples to ...
0
votes
1answer
208 views
How to calculate expected risk from fitted Cox PH model in R?
I'd like to calculate expected risk (cumulative incidences), which are derived from fitted Cox PH model using R packages.
I have the fitted Cox PH model like as follows:
[Variables]
Dataset: 10,...
2
votes
0answers
51 views
Model fitting vs minimizing expected risk
I'm confused about the mechanics of model fitting vs minimizing risk in decision theory. There's numerous resources online, but I can't seem to find a straight answer regarding what I'm confused about....
6
votes
2answers
256 views
Why is the risk function defined to be the expectation of loss function?
In decision theory, we define the risk associated with a particular predictor function as the expected value of the loss function. Since the input and output are considered random variables therefore ...
1
vote
0answers
76 views
Why would results from cmprsk differ from those from riskRegression in competing risk analysis?
I have a dataframe with a number of covariates or different types (binary, numeric, factors) and 2 competing outcomes. The presence of one outcome would preclude the occurrence of the other outcome.
...
0
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1answer
21 views
Person months to annual risk
if a study reports a risk of 4 cases per 1000 person months can that be converted into an annual risk per 100,000 people? if so, how? Thanks
0
votes
1answer
32 views
What is the optimal strategy to invest a limited resource in N uncertain options?
Suppose I have a £100 to invest in 2 options. Each option has a expected value, but the value is unknown.
Option A has the highest average expected value, but a bigger uncertainty range.
If we just ...
1
vote
0answers
295 views
True risk vs emprical risk
I tried to understand the difference between true and empirical risk by the post in wiki.
There it states that the true risk cannot be computed because the distribution P(x,y) is unknown. My first ...
2
votes
1answer
108 views
Is risk modeling a hypothesis-driven, scientific endeavor?
One could hypothesize that factors x1, x2, x3 predict y. ...
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0answers
128 views
comparison of two estimators
Assume we have a data set $\mathbf{x}_{n} = (x_{1}, \dots, x_{n})$. Let $\delta_{1}(\mathbf{x}_{n})$ and $\delta_{2}(\mathbf{x}_{n})$ be two consistent estimators of some parameter $\theta \in R^{k}$. ...
2
votes
1answer
70 views
Convert classifier output for disease to probability using Bayes
Method 1
I am given a classifier for some disease that takes as input patient characteristics and has some sensitivity and specificity.
Hence the classifier is a function c(patient characteristics) ...
2
votes
0answers
131 views
Simulation of a random variable given the moment generating function after exponential tilt
The random variable $S$ follows a distribution with moment generating function
$$M_S(v)=\frac{\beta\mu v}{1+(1+\beta)\mu v-M_X(v)}$$ I have been looking in some books about this m.g.f and I found ...
0
votes
1answer
93 views
How to calculate the VaR of an equally weighted portfolio of 2 assets using the copula approach?
The R-code procedure in the GARCH-EVT-Copula model estimation
I have been able to do the following steps in R:
Fit GARCH models to each series.
Extract standardized returns.
Transform standardized ...
1
vote
1answer
26 views
A simulation risk formulation where Bayesianism and frequentism is combined
For my mathematics bachelor-thesis at the Statistics Netherlands, i became acquainted with frequentist and Bayesian statistics. I had set up a simulation-study, and I am not sure if the risk I ...
6
votes
1answer
1k views
Different definitions of Bayes risk
I'm having trouble understanding the proper definition of Bayes risk.
Let the data/variate $x \sim P(X|\theta)$, $\theta\in \Theta$, $\pi$ be a distribution on $\Theta$ (prior), $\hat \theta(x)$ be ...
0
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0answers
32 views
Include predictions as feature in regression. covariate or offset?
I have a regression setting in which I would like to explore the influence of a given variable on a certain patient condition, given a level of risk for the same outcome, predicted with a more complex ...
1
vote
0answers
17 views
Probability - Plant Production
I work for an agricultural company. We grow plant varieties that yield fruit. Some varieties do well, others do not. All plants need the key drivers of success: good soil, water, sun, etc.
So here ...
0
votes
0answers
409 views
Interpretation of VAR for non normal distribution!
I want to compute the VAR and expected shortfall for log returns of monthly wholesale gas and electricity prices.
The data is not normally distributed and I only have 72 observation for each.
I ...
1
vote
1answer
62 views
help specifying a multilevel risk model
Hi and any help greatly appreciated specifying this model!
I have a binary outcome, measured at the person level (coronary event). There are 9 'risk event' predictors (also binary coded as occurred/...
3
votes
2answers
132 views
I'm looking for a risk analysis book with citations from academic backgrounds that focuses on shocks and the unknown. Looking for a Taleb alternative [closed]
I'm less than ... enthusiastic about some of Taleb's claims regarding, say, the paleo diet. I make no comment on his political content, but I want someone more factual and hard, and less prone to ...
1
vote
1answer
15 views
Relative risk calculation for effect modification testing
I was trying to replicate an example from Knol et al (Knol 2012, Int J Epidemiol, Recommendations for presenting analyses of effect modification and interaction) but I dont get the same results as the ...
0
votes
1answer
431 views
Compound Poisson Process with Weibull jumps
I need to simulate a compound Poisson Process in R, however I am not clear with the algorithm to generate it. I have conceptual gaps.
I know by definition that:
A compound Poisson process is the ...
4
votes
1answer
122 views
Comparing estimators of equal risk
I'm attending a course in mathematical statistics and it seems the lecturer tacitly assumes that given estimators $T_1,T_2 : \Omega \to \Lambda$ of a parameter $g : \Theta \to \Lambda$, a loss ...
2
votes
1answer
198 views
Upper bound using Bayes risk
Bayes' risk is $L^*=0$ for a classification problem. $g_n(x)$ is a classification rule (plug-in) such that $g_n=0$ is $\eta_n(x)\leq 1/2$ and $g_n=1$ otherwise. The function $\eta$ is given by $\eta(x)...
