Author

Milo Ivancevic

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Open access Sep 2026

Reliable value at risk estimation with conformal prediction

Quantile Dynamically-Tuned Adaptive Conformal Inference (QDtACI) is proposed, a model-agnostic conformal calibration layer that constructs finite-sample intervals around any VaR forecast, using only the return series and the forecast itself, whose reliability tracks the quality of the underlying forecast.

Milo Ivancevic, Khuong Nguyen, Zhi-Yuan Luo · Risk Management · 0 citations