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Questions tagged [risk]

Risk has several meanings in different contexts within statistics

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Return period of vine copula

In the formula for "OR" joint return period of 3-dimensional copula modeling, we need to find C(u,v,w) but when we model using vine, we are only able to obtain the copula C(uv|w). So, how to ...
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Value at Risk / Tail Value at Risk

Question: Let X be a random variable with the following loss distribution k Pk 0 0.50 1000 0.30 2000 0.10 5000 0.06 10000 0.04 – Calculate 95% ...
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Infimum of a set - Value at Risk

I don't understand these semantics. Can somebody tell me with easy words and some other examples how to understand this last equation and why it equals 0? How to understand this colon after variable '...
wojtek5739g's user avatar
3 votes
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Difference between generalisation error (Vapnik risk) and frequentist (statistical) risk

I'm reading these lecture notes: http://www.iro.umontreal.ca/~slacoste/teaching/ift6269/A19/notes/lecture5.pdf I always learned: "risk is the expected loss". In these lecture notes I see two ...
Tchaikovski's user avatar
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variance decomposition in factor models

Consider a linear model $\textbf{y} = \pmb{\beta}'\textbf{x} + \pmb{\varepsilon}$ with $\textbf{y}$ a $N \times 1$ vector of random variables, $\pmb{\beta}$ a $N \times K$ vector and $\textbf{x}$ a $K ...
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How to Visualize Integrated Risk in a GMM with the Defined Risk Function

In my Bayesian decision theory research within a Gaussian Mixture Model (GMM) framework, I've come across the need to visualize the integrated risk function, especially in the context of two ...
Alireza Ghazavi's user avatar
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Determining values for Default Correlation between two companies

I'm a second year undergrad university statistics student working on a real life project for IDB, a bank in Latin America. However the project is really above my level, and I could do with some help. ...
Henry Lavender's user avatar
2 votes
1 answer
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Converting Risk Ratios to Odds Ratio in case-crossover trial for meta-analysis

I am doing a meta-analyss of case crossover & time series studies. so the problem is some studies have reported the RRs, & I need ORs. The data I have is not enough which is -Total sample size ...
Abdullah Akram's user avatar
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Cross-Validation estimate for the risk is almost unbiased

Let $Z_N$ : set with N elements; full training set $Z^l_{N/L}$ : set with N/L elements; l-th hold-out set $Z_{N(1-1/L)}$ : set with N-N/L elements; e.g. 4/5 of data $Z_N \setminus Z^l_{N/L}$ : ...
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Analyzing microbiome and clinical data for event-prediction

I am analyzing clinical data and complex microbiome data in a longitudinal study. I already compared different groups at baseline and between baseline and "events" using linear mixed models (...
BHO_1990's user avatar
1 vote
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Why is CIHI recommending that we multiply the multiplicative error estimate by the per-capita rate?

I feel like this question is mostly about how to translate vague documentation into math than a statistics question per se, but please bear with me. I am reading the Canadian Institute for Health ...
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Determine weights for a risk weighted calculation for road safety

I'm looking to quantify route safety for each route in our route database. For this, I have the following data in the past 2 years: accidents observed for each route, no. of phone usage events no. of ...
jimmybuckets's user avatar
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Predicting willingness-to-pay for a risk-averse person who can 'select' lotteries

I'm studying how the willingness-to-pay differs for individuals who can 'select' lotteries. Individuals are presented with L1 first and can pay some amount to get lottery L2. Assume these are my ...
ordering-lotteries-help's user avatar
1 vote
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Survey Package in R - svyglm with quasipoission link function for binary outcomes data, yielding relative risk? [closed]

I'm planning to run a regression analysis to estimate [adjusted] relative risk of a binary outcome data (essentially, analyzing the relative risk or risk ratio of an event happening), using a number ...
user395714's user avatar
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Calculate the risk probability with coefficients derived from Cox regression

I am new to survival analysis and I was wondering whether you could, similar to the logistic regression, calculate the intercept and the risk probability with the coefficients you acquire from the cox ...
Maria Do's user avatar
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VaR (value-at-risk) of a Normal Random Variable - Confused about Scaling in Derivation

In the book "Quantitative Risk Management: Concepts, Techniques and Tools - Revised Edition" (by McNeil, Frey, and Embrechts)", there is the following example (example 2.11): Suppose ...
randomvariable's user avatar
4 votes
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Can I assume normal distribution?

I have calculated daily price returns of Bitcoin and plotted this data in the following way: x-axis: returns in % y-axis: count I assumed the data had a normal distribution to calculate the $$\rm ...
BlankerHans's user avatar
1 vote
1 answer
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Entropic Value-at-Risk for a Normally Distributed random variable

I have been reading about the Entropic Value-at-Risk measure and its applications. The definition of this risk measure is as follows [1,2]: $${\displaystyle {\text{EVaR}}_{1-\alpha }(X):=\inf _{z>0}...
youcef nafa's user avatar
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Survival's Risk score in R

How to obtain Risk score in R? Is the following approach correct? ...
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Measuring Portfolio Volatility when Risk-Off

I'm trying to calculate the annualized volatility of a single-asset trading strategy that is either 100% long or 100% cash. Imagine a risk-free asset with a guaranteed and fixed daily return of 0.1%. ...
Sir Fart-A-Lot's user avatar
1 vote
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Evaluate Value at Risk (VaR) models with different VaR backtesting approaches - averaging p-values?

I estimated the Value at Risk of a time series of log returns with different approaches and models. Now I want to compare the models and choose the model that most accurately estimated the Value at ...
Isabel's user avatar
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Choosing one method for modeling Value at Risk (VaR) over another - determining the "best" model

I estimated the Value at Risk of a time series of log returns with different approaches and models. Now I want to compare the models and chose the model that most accurately estimated the Value at ...
Isabel's user avatar
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1 vote
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Risk ratio or odds ratio?

I have a question which may seem stupid. This is for a retrospective cohort study. I have a table like this for my outcome: Among the 20,000 patients in group A, 4671 are dead (23.55%). Among 50,000 ...
user19745561's user avatar
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How are the generalization error and the test set error related? Are they?

Let us say that we have a set of input data $x \in X$ with labels $y \in Y$. Given a suitable loss function $R(f(x), y)$, we can define the generalization error of a learnt function $f_{n}$, call it $...
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Comparing different methods for modeling Value at Risk (VaR) - understanding VaR backtesting results

I estimated the Value at Risk of a time series of log returns with different approaches and models. Now I want to compare the models and find the model that most accurately estimated the Value at Risk....
Isabel's user avatar
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1 vote
0 answers
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Calculating Odds ratio with exclusion criteria

I had a question about how to perform an odds ratio when the group has an exclusion criterion. Let's say I am trying to find the association between surgery and suicide. I wanted to control for people ...
Bob's user avatar
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3 votes
1 answer
43 views

Reconciling Nondeterministic and Probabilistic Decision Rules

I've been getting a bit stuck recently on how to reconcile the two seemingly-competing ideas of nondeterministic and probabilistic decision rules. As an example: Let $t=0$ denote the current time and ...
QMath's user avatar
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How to implement Girardi & Ergun's (2013) three-step multivariate GARCH estimation of CoVaR in R?

I'm trying to calculate multivariate GARCH estimation of conditional value-at-risk, by adopting a three-step model from Girardi & Ergun (2013) paper entitled "Systemic risk measurement: ...
Restu's user avatar
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178 views

Incidence risk vs -recalculated incidence risk from incidence rates

I am learning epidemiology and am puzzled with the following issue. Assume we have a prospective cohort study with the following results: 1000 participants alive at baseline (N) 12 years of follow-up ...
Jacob's user avatar
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How can I calculate time-varying Value at Risk (VaR) and Conditional VaR for return series?

I am working on ABT index and I calculated the return series. Also, I intend to fit a GARCH(1,1) model to the return series and then calculate the VaR and CVaR as ...
Afshin's user avatar
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How to choose the input parameters for a Beta-Pert distribution if no expert estimates can be elicited?

The Beta-Pert-Distribution is often used to model uncertainty in risk management. It takes three values a minimum, maximum and most likely (mode). Generally, these numbers ought to be provided by ...
rememberthename_'s user avatar
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Recommendations on best papers / blogs / existing literature on constructing risk and vulnerability indices?

I'm interested in constructing a risk index by indexing a large number of identified risk factors into a composite measure (that ideally then has sub-dimensions that can be explored further if one so ...
1 vote
0 answers
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Clarification Question from Berger's Statistical Decision Theory (Chapter 1, Exercise 12 a))

I have a CS background with intro stats courses, and currently, I am working through Berger's Statistical Decision Theory (the theoretical questions). I'd like to ask a clarification question: this is ...
gordon's user avatar
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3 votes
1 answer
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Summarizing ratios in a systematic review - does any joint effect measure exist?

I am responding to reviewer comments on a systematic review summarizing a number of risk factors. The exposure is any risk factor (this is what I am trying to make an overview of) and the outcome is ...
troelsgk's user avatar
1 vote
0 answers
42 views

Added predictive value: valid approaches?

I am planning an analysis to quantify the effects of a new biomarker on cardiovascular risk in terms of added predictive value. Having read this nice post by @Frank Harrell: https://www.fharrell.com/...
user167591's user avatar
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Weird coefficient, can't isolate right term for Cov(X,Y) minimizing risk function; everything else works

We would like to show that $\hat{\alpha}=(σ ̂_Y^2-σ ̂_{XY})/(σ ̂_X^2+σ ̂_Y^2-2σ ̂_{XY} )$ minimizes $Var(αX+(1-α)Y)$. Note that I am confused about the terms in red, I don't know why I am not getting ...
therickster's user avatar
1 vote
2 answers
542 views

Expected Shortfall vs VaR

I have a question about how to compute the Expected Shortfall practically. I know from the theory that the ES is the conditional Expectation of the Loss distribution (conditional on the VaR) and that ...
fredi96's user avatar
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The bayes estimator of Bernoulli model with constant prior

I'm currently reading "All of statistics" by Larry A. Wasserman. In the chapter on statistical decision theory, we are given the following example: Consider the Bernoulli model with loss ...
Adora's user avatar
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1 vote
1 answer
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Using logistic regression vs Cox regression

Say I am interested in looking at the 5 year occurrence of an serious adverse drug reaction including mortality occurring in a group of patients being treated for a disease. I would imagine that ...
Savannah's user avatar
5 votes
1 answer
359 views

Why Do We Need Relative Risk?

I am an MBA student that is taking courses in statistics. In our classes, we are learning about Odd's Ratios and Relative Risk. Our Prof outlined the following examples: Example 1: Suppose we take a ...
stats_noob's user avatar
1 vote
0 answers
27 views

Economic risk of $n$ items breaking down

Let's consider a system of $n$ items, where each item has a lifetime $X_i, i=1,\dots,n$ i.i.d. Let's assume that one item is used and replaced whenever it breaks down. Let's also assume that the ...
Adem A.'s user avatar
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Combining hazard ratios

I was wondering if someone could help me with a doubt about hazard ratios (HR). I have access to a publication reporting HR of death given exposure A obtained through Cox regression. Reported HRs are ...
r1000's user avatar
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1 answer
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A good textbook about value at risk in R? [closed]

I am so new to business applications and interested in learning about value at risk. My question is, could you please recommend for me a nice/easy book about value at risk with applications using the ...
2 votes
0 answers
32 views

Identify predictors for a symptom in a time series

I have a dataset of time series. The analogy for each series is a medical history (2-3 years) of a patient visiting a clinic. It consists of dates and symptoms per visit: There are few thousands of ...
PavelR's user avatar
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1 vote
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130 views

Calculating individual predicted probability from logistic model and 95% confidence interval for shiny app

I have developed a logistic model to predict the risk of an outcome (TRS) based on some predictors. This was developed on a number of imputed datasets generated by mice (imp2) as follows: ...
Emos's user avatar
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1 vote
1 answer
78 views

Var and Expected Shortfall

I am struggling to find an example which has 2 random variables (say L1 and L2) with same VaR but different Expected Shortfall.
Sakshi's user avatar
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1 vote
0 answers
60 views

Minimizing the toal risk under squared-error loss for normal distributions

Suppose that $X_i \sim N(\theta_i,1)$ are independent for $i=1,\dots,n$. Let: $$\hat{\theta_i}(\boldsymbol{x^{n}})= \left(1 - \frac{b}{\sum_{i=1}^{n}x_i^2} \right)x_i $$ Where $b$ is a constant. If we ...
correlatedpizza's user avatar
1 vote
0 answers
122 views

Logistic regression for risk adjustment

I'm not sure to understant how you can use logistic regression to calculate risk-adjusted rate. For example, I want to calculate an adjusted rate for acquiring C. difficile in a hospital. I have the ...
merco12's user avatar
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2 votes
1 answer
154 views

How to compute the combined probability of loss for 2 time series (consisting of historical stock prices)?

May I please ask the community's support with the following problem? I have 2 time series, with approximately 1000 observations each (same number of observations for both). They represent the daily ...
mihnea_11235's user avatar
0 votes
1 answer
61 views

Predict risk from pre-trained Cox PH model

I came accross this article about AMD (age-related macular degeneration, a kind of eye diseases) recently. The article fitted a Cox PH model to predict risk of disease advancing to advanced stage. The ...
Nguyen Duy Anh's user avatar

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