Kunjie Zhu

Finite-Sample Conformal Risk Bounds for Joint Value-at-Risk and Expected-Shortfall Forecasting Under Non-Exchangeable Financial Time Series

Financial tail-risk observations are non-exchangeable: serial dependence and regime shifts make their joint law depend on the time ordering, invalidating the exchangeability that standard conformal guarantees assume, and expected shortfall is not elicitable on its own, so a forecaster cannot be calibrated to it as a qu...