{"paper":{"title":"Taming Tail Risk: Regime-Weighted Conformal Calibration for Nonstationary Value-at-Risk","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.RM","authors_text":"Marc Schmitt","submitted_at":"2026-02-03T12:34:19Z","abstract_excerpt":"Value-at-risk (VaR) forecasts drive trading constraints and capital allocation, yet realized exceedance rates concentrate in stress periods, when losses are largest. This paper studies sequential one-sided VaR calibration via conformal prediction. Regime-weighted conformal calibration (RWC) wraps any quantile forecaster and calibrates an additive safety buffer from past forecast errors, weighted by exponential time decay and regime similarity computed from simple market features; time-weighted calibration (TWC) is the kernel-free special case. Rather than assuming weighted exchangeability with"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2602.03903","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2602.03903/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}