Predicting Value-at-Risk with Risk-aware Mutual Attention Mechanism

Chien Shuo Wu, Shiou Chi Li, Jen Wei Huang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Value-at-Risk is a risk measurement method utilized in the capital market to estimate potential losses within a given period. However, the challenge of Value-at-Risk is a tradeoff between proximity and violations. Therefore, there is rare research available on Value-at-Risk prediction. This study utilized an attention-based model called Risk-Aware Mutual Attention Mechanism (RAMAM) to extract information between the global market and a single asset. The RAMAM model incorporated global indices, higher order moments and decomposed signals obtained through Variational Mode Decomposition (VMD) as features to capture relevant information and enable effective risk assessment. In experiments, the proposed model demonstrated significantly lower mean absolute error (MAE).

Original languageEnglish
Title of host publicationProceedings - 23rd IEEE International Conference on Data Mining Workshops, ICDMW 2023
EditorsJihe Wang, Yi He, Thang N. Dinh, Christan Grant, Meikang Qiu, Witold Pedrycz
PublisherIEEE Computer Society
Pages485-489
Number of pages5
ISBN (Electronic)9798350381641
DOIs
Publication statusPublished - 2023
Event23rd IEEE International Conference on Data Mining Workshops, ICDMW 2023 - Shanghai, China
Duration: 2023 Dec 12023 Dec 4

Publication series

NameIEEE International Conference on Data Mining Workshops, ICDMW
ISSN (Print)2375-9232
ISSN (Electronic)2375-9259

Conference

Conference23rd IEEE International Conference on Data Mining Workshops, ICDMW 2023
Country/TerritoryChina
CityShanghai
Period23-12-0123-12-04

All Science Journal Classification (ASJC) codes

  • Computer Science Applications
  • Software

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