Reliability-Aware ETF Tail-Risk Monitoring

TL;DR

This paper presents a reliability-aware ETF tail-risk monitoring framework that enhances risk surveillance accuracy during market stress and data quality issues.

Contribution

It introduces a comprehensive system combining quality checks, uncertainty scoring, and risk adjustments for more reliable tail-risk monitoring.

Findings

Improves tail-risk detection during stressed market periods

Remains reliable under simulated data degradation

Enhances ETF risk monitoring accuracy

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.