Reliability-Aware ETF Tail-Risk Monitoring

2026/04/09 by Tenghan Zhong, Keyuan Wu · 1 voice
Economics, Econometrics and Finance · #q-fin.RM #q-fin.ST

paper · pdf

arxiv published 2026/04/09 · arxiv updated 2026/07/02

Abstract

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.

Citations

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Discussions

• Tenghan Zhong: Reliability-Aware ETF Tail-Risk Monitoring https://arxiv.org/abs/2604.08765 https://arxiv.org/pdf/2604.08765 https://arxiv.org/html/2604.08765 [bsky, 0 points, 0 comments]

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