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Since its proposal as an alternative risk measure to value-at-risk (VaR), expected shortfall (ES) has attracted a great deal of attention in financial risk management, primarily owing to its coherent ...

Gordon Lee et al introduce a data-driven and model-agnostic approach for computing conditional expectations. The new method combines classical techniques with machine learning methods, in particular ...

We introduce a consistent estimator for the homology (an algebraic structure representing connected components and cycles) of level sets of both density and regression functions. Our method is based ...