Pith Number

pith:FKWVI6KH

pith:2026:FKWVI6KHQP3KTKFS4R7EAAGLYY

not attested not anchored not stored refs pending

Marking-Aware Sequential VaR Recalibration for Standardized Option Books

Keyuan Wu, Tenghan Zhong

Sequential conformal recalibration corrects the systematic underestimation of downside risk produced by base quantile forecasts for standardized SPX option books.

arxiv:2604.03499 v2 · 2026-04-03 · q-fin.RM · q-fin.ST

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\pithnumber{FKWVI6KHQP3KTKFS4R7EAAGLYY}

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Record completeness

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2 Internet Archive

3 Author claim open · sign in to claim

4 Citations open

5 Replications open

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The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

Using SPX option data from 2018 to 2025, we show that the uncalibrated base model systematically underestimates downside risk across multiple standardized books. Sequential recalibration removes much of this shortfall, brings exceedance rates closer to target, and improves rolling-window tail stability.

C2weakest assumption

The base conditional quantile forecast provides a sufficiently stable starting point whose errors can be corrected by sequential conformal recalibration without introducing new biases under changing market conditions and next-day marking approximations.

C3one line summary

Sequential conformal recalibration improves exceedance rates and tail stability for VaR in standardized SPX option books compared to uncalibrated quantile forecasts.

Formal links

2 machine-checked theorem links

Receipt and verification

First computed	2026-05-20T00:04:30.741194Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

2aad54794783f6a9a8b2e47e4000cbc618cf419299c53e1fb5c2f6db9e51a47c

Aliases

arxiv: 2604.03499 · arxiv_version: 2604.03499v2 · doi: 10.48550/arxiv.2604.03499 · pith_short_12: FKWVI6KHQP3K · pith_short_16: FKWVI6KHQP3KTKFS · pith_short_8: FKWVI6KH

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/FKWVI6KHQP3KTKFS4R7EAAGLYY \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: 2aad54794783f6a9a8b2e47e4000cbc618cf419299c53e1fb5c2f6db9e51a47c

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "8ae8c0d387c9ed5607f353cca0011458b32ec37e26b1c80cbe566d7c4621d399",
    "cross_cats_sorted": [
      "q-fin.ST"
    ],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "primary_cat": "q-fin.RM",
    "submitted_at": "2026-04-03T22:45:54Z",
    "title_canon_sha256": "4a02e88a278e93cde379a26ed9ecbba5acc87ad0cbf47d639a6137749a2842a0"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2604.03499",
    "kind": "arxiv",
    "version": 2
  }
}