Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
动态半参数风险模型变化的序贯监测
We propose a sequential monitoring scheme to detect changes in dynamic semiparametric risk models that capture Value-at-Risk (VaR) and Expected Shortfall (ES) jointly. The monitoring scheme is based on a gradient-based detector and a boundary function, and a change is detected when the detector crosses the boundary function. We derive the asymptotic limit of the stopping time of detection under the null hypothesis of no change. Monte Carlo simulations show that the proposed…