Reliability-Aware ETF Tail-Risk Monitoring
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866910137911869440 |
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| author | Zhong, Tenghan Wu, Keyuan |
| author_facet | Zhong, Tenghan Wu, Keyuan |
| contents | Daily ETF risk monitoring can become unreliable when market data quality degrades, market conditions shift, or predictive performance becomes unstable. This paper develops a reliability-aware risk monitoring service for next-day tail-risk surveillance. The proposed framework combines service-time quality checks, lower-tail prediction, uncertainty scoring, and risk-aware adjustment of the tail-risk estimate. We evaluate the system on a daily panel of multiple ETFs augmented with VIX and yield-curve information under a rolling walk-forward design. Empirically, the framework improves tail-risk monitoring, especially during stressed periods, while remaining reliable under simulated input degradation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_08765 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Reliability-Aware ETF Tail-Risk Monitoring Zhong, Tenghan Wu, Keyuan Risk Management Statistical Finance Daily ETF risk monitoring can become unreliable when market data quality degrades, market conditions shift, or predictive performance becomes unstable. This paper develops a reliability-aware risk monitoring service for next-day tail-risk surveillance. The proposed framework combines service-time quality checks, lower-tail prediction, uncertainty scoring, and risk-aware adjustment of the tail-risk estimate. We evaluate the system on a daily panel of multiple ETFs augmented with VIX and yield-curve information under a rolling walk-forward design. Empirically, the framework improves tail-risk monitoring, especially during stressed periods, while remaining reliable under simulated input degradation. |
| title | Reliability-Aware ETF Tail-Risk Monitoring |
| topic | Risk Management Statistical Finance |
| url | https://arxiv.org/abs/2604.08765 |