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![AINativeF Avatar](https://lunarcrush.com/gi/w:24/cr:twitter::1795402815298486272.png) AI Native Foundation [@AINativeF](/creator/twitter/AINativeF) on x 1913 followers
Created: 2025-07-22 00:51:40 UTC

X. Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index

🔑 Keywords: quantitative risk management, expectile-based methodologies, FTSE 100, Value-at-Risk, regulatory compliance

💡 Category: AI in Finance

🌟 Research Objective:
   - The study aims to develop a framework for quantitative risk management using expectile-based methodologies tailored for volatile markets.

🛠️ Research Methods:
   - Employs advanced expectile-based formulation, new threshold determination techniques with time series analysis, and robust backtesting procedures using a two-decade dataset of FTSE XXX returns.

💬 Research Conclusions:
   - Expectile-based Value-at-Risk (EVaR) outperforms traditional VaR measures in various market conditions, providing enhanced predictive accuracy and stability, with guidelines for practical implementation and regulatory compliance.

👉 Paper link:

![](https://pbs.twimg.com/media/GwbEFuRbEAcGhnc.png)

XX engagements

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**Related Topics**
[finance](/topic/finance)
[asset allocation](/topic/asset-allocation)
[coins ai](/topic/coins-ai)

[Post Link](https://x.com/AINativeF/status/1947459494172365235)