Questions tagged [risk]
Risk has several meanings in different contexts within statistics
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How to model data where an individual could be in more than one group within the data, but is more likely to only appear once?
I have multiple cohorts of patients with different index symptoms/events, and am looking to predict cancer risk for each separate cohort, including certain covariates of interest to see which ...
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Calibration plot in survival analysis
I'm trying to evaluate my parametric proportional hazards and accelerated failure models in terms of calibration. There seem to be many ways to summarise calibration, but they give a single summary ...
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Different absolute risks
There are two absolute risks at one year after either initiating drug A or drug B regarding a disease.
Drug A: 2,3% (2,1% - 2,7%)
Drug B: 1,4% (1,0% - 1,8%)
Could one say that risk using drug B is ...
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Defining two thresholds in a binary classification model
In the context of binary classification, models usually output probability values ranging from $0$ to $1$, and then use a default threshold of $0.5$ to decide wether to classify an observation in one ...
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Are diagnostic tests and clinical (risk) prediction models in medicine essentially the same thing?
In medicine, are diagnostic tests (e.g. covid test, HIV test, ...) and risk prediction models essentially the same thing? If not, in which aspects do they differ (from statistical point of view)? ...
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Doubt regarding limiting distribution on Vasicek model
I was reading an article from Vasicek where he's concerned about deriving the limiting loss probability distribution on a credit risk model with 2 factors.
I am here presenting a somewhat different ...
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Convert Multivariate PDF to Anomaly based Risk Score on scale 0 to 1
I have defined a multi-variate normal distribution over a number of risk factors.
Currently the PDF over the risk factor observations ranges from infinitesimally values to a maximum of ~2.1.
While the ...
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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 '...
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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 ...
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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 ...
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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.
...
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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 ...
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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 (...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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
$$\rm ...
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Entropic Value-at-Risk for a Normally Distributed random variable
I have been reading about the Entropic Value-at-Risk measure and its applications. The definition of this risk measure is as follows [1,2]:
$${\displaystyle {\text{EVaR}}_{1-\alpha }(X):=\inf _{z>0}...
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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%. ...
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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 ...
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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 ...
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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 ...
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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....
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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 ...
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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 ...
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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: ...
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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
...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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/...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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