# Questions tagged [risk]

Risk has several meanings in different contexts within statistics

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### Implementation of CoVaR (a systemic risk measure) in R

I'm trying to estimate CoVaR using bivariate DCC GARCH in R. The concept of CoVaR is the dependence adjusted of VaR, which was first introduced by Adrian and Brunnermeier (2011). However, this ...
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### Credit Risk and Concentration

I am working with a UK credit-union and we are looking to build a model to assess our credit risk and changes to this over time. We have a number of loans to borrowers who each have a credit rating (...
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### How does the RMS package's nomogram calculate points for continuous variables?

I have been reading a number of papers where researchers have created risk scores based on logistic regression models. Often they refer to "Sullivan's method" but I have no access to this paper and ...
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### Monte Carlo calculation of value at risk

I want to calculate the VaR with Monte Carlo Simulation, I am referring to this page: http://financetrain.com/calculating-var-using-monte-carlo-simulation/ which was created to the JP Morgan ...
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### Estimating risk parameters from observed choices

My background is in labor economics/applied micro but I am currently working with data collected from a field experiment. My experimental/micro skills are rusty to say the least. In my data, I ...
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### Is risk modeling a hypothesis-driven, scientific endeavor?

One could hypothesize that factors x1, x2, x3 predict y. ...
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### Risk function equation

How to show risk function = (3-theta)^2? I tried using the mean squared error formula to no avail.
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### How does the risk calculation of the EMA / Paul-Ehrlich-Institut regarding AstraZeneca vaccine side effects look like?

When the german government announced that they would stop administering AstraZeneca because of potentially deadly side effects, I was wondering what kind of risk calculation would be happening in the ...
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### Credit risk book reference

Credit risk is a beautiful field that relies on basic notions of statistics and stochastic processes. I have been studying it, and now I am trying to understand the market models such as KMV, ...
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### Is Bayes risk under MSE (i.e. conditional variance) strictly monotonic?

Formal question: Let $Y,X,X'$ be r.v.s . Let $E_{X}[Var(Y|X)]$ denote the expected conditional variance (i.e. Bayes risk when predicting $Y$ using $X$ under squared error) and $f$ be a bijective ...
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### Single Choice Test

I will have a big exam next week that involves 64 Single-choice questions. There will be two statements of which only one will be correct. I will need to mark only the correct answer. For the correct ...
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### Calculating the (colloquial) likelihood of a result

A project that I am working on wants to use two factors to determine risk. First is an assessment by a subject matter expert (SME) on how much damage a calculated result would cause. Second is a ...
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### Relation between test and train error with gradient descent iterates

My question is about establishing an inequality between population error and expected training error (i.e, expected training error < population error) for a model trained with gradient descent on a ...
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### Player based betting odds VS analysis based odds

there are two kinds of betting sites Player based odds sites (thunderpick.com , csgopositive.com , ...) analysis based odds sited (1xbet , bwin , and almost all of the huge betting sites) when you ...
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### 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 ...
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### 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 ...
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### 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. ...
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### 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 $\theta \in R^{k}$. ...
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### Monte Carlo approach in a distribution of a loss process

I am trying to estimate the next quantity using Monte Carlo method. I have the next well-known quantity called the Crámer-Lundberg risk process, given by the expression $$Y_t=x+ct-Z_t$$ where \$Z_t=\...
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### Value-at-Risk Interpretation

Regarding the VaR formula: VaR = -U-ZX Where U is the average return, X is the standard deviation and Z is the negative number of standard deviations that specifies the probability level associated ...
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### definition of Black swan random variables

What's the precise mathematical definition of a black swan random variable? Taleb describes it approximately here(http://highlands.vmhost.psu.edu/_reading/docs/blackswan.pdf), where he describes ...
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### Which country has better road traffic safety, Japan or USA?

This is more a question about how to weigh several statistical numbers. Or, which statiscal measure does exist to properly compare these two countries on this matter of road traffic safety? ...
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### Cross-Validation and Generalization Error with SVM

Background: I am having some issues generalizing my data in robustness tests. I have a large data set (a little over 6.5 million images) which I am feeding through a CNN-SVM pipeline. The CNN is ...
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I was once served the formula below for calculating the risk premium in insurance. The intent is to model the risk premium in two steps, first "capping" claims larger than a certain limit, and then ...
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### Intensity of fractional Gaussian noise

I try to understand the 2nd formula stated in the picture. It yields the intensity/volatility of an fGN process. It depends solely on H ?? Why is that? How is this volatility different from simply ...