skip to main content

Search for: All records

Creators/Authors contains: "Wen, Xin"

Note: When clicking on a Digital Object Identifier (DOI) number, you will be taken to an external site maintained by the publisher. Some full text articles may not yet be available without a charge during the embargo (administrative interval).
What is a DOI Number?

Some links on this page may take you to non-federal websites. Their policies may differ from this site.

  1. Free, publicly-accessible full text available August 1, 2025
  2. Free, publicly-accessible full text available February 17, 2025
  3. Free, publicly-accessible full text available February 1, 2025
  4. Free, publicly-accessible full text available December 26, 2024
  5. Abstract

    Expected shortfall (ES), also known as superquantile or conditional value-at-risk, is an important measure in risk analysis and stochastic optimisation and has applications beyond these fields. In finance, it refers to the conditional expected return of an asset given that the return is below some quantile of its distribution. In this paper, we consider a joint regression framework recently proposed to model the quantile and ES of a response variable simultaneously, given a set of covariates. The current state-of-the-art approach to this problem involves minimising a non-differentiable and non-convex joint loss function, which poses numerical challenges and limits its applicability to large-scale data. Motivated by the idea of using Neyman-orthogonal scores to reduce sensitivity to nuisance parameters, we propose a statistically robust and computationally efficient two-step procedure for fitting joint quantile and ES regression models that can handle highly skewed and heavy-tailed data. We establish explicit non-asymptotic bounds on estimation and Gaussian approximation errors that lay the foundation for statistical inference, even with increasing covariate dimensions. Finally, through numerical experiments and two data applications, we demonstrate that our approach well balances robustness, statistical, and numerical efficiencies for expected shortfall regression.

    more » « less