Name of Quantlet: VaR_CEE_Chronos
Published in: Can Foundation Models Manage Risk? Zero-Shot VaR and ES Forecasting for CEE Markets
Description: Generates zero-shot VaR and ES forecasts using the Chronos-2 foundation model (Amazon). Produces 1000 Monte Carlo forecast samples per date using a 512-day context window and derives VaR/ES from the empirical distribution of samples.
Keywords: Chronos, foundation model, zero-shot forecasting, Value-at-Risk, Expected Shortfall, time series, transformer, probabilistic forecasting
Author: Daniel Traian Pele
Submitted: 2025
Datafile: data/processed/{country}_returns.parquet
Input: Log return series, 512-day context window, 1000 samples per forecast, VaR levels (1%, 2.5%, 5%)
Output: CSV files with daily VaR and ES forecasts per series in data/var_forecasts/
Example: Loads Chronos-T5-base, generates 1000 samples (in chunks of 200) for SOFIX_ret, computes VaR as empirical quantile of samples
