# Proxy-Reliance Control in Conformal Recalibration of One-Sided Value-at-Risk

arXiv: https://arxiv.org/abs/2603.22569 · HTML: https://mlsanity.com/paper/2603.22569/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 23 Mar 2026.

## Built on by (most cited first, 1 of 1)

- [Occupancy-based Quantile Risk Control](https://mlsanity.com/paper/2609.03104/) (2026)

## Abstract (arXiv)

We introduce a proxy-reliance-controlled conformal recalibration framework for one-sided Value-at-Risk (VaR), and study a question that existing state-aware methods do not usually isolate: how strongly should the recalibration adjustment depend on an imperfect volatility proxy? We formalize this through a proxy-reliance parameter that continuously interpolates between an approximately constant-shift correction and a fully proxy-scaled correction. This makes proxy reliance a distinct and practically interpretable design choice in one-sided VaR recalibration. We show theoretically that larger proxy reliance increases the responsiveness of the tail adjustment to proxy scale, but also increases stressed-state fragility when the proxy underreacts. Empirically, in rolling out-of-sample tests on a six-ETF panel with VIX-linked state variables, and with supporting evidence from SPY, we find that the empirical value of proxy-reliance control lies in improved stressed-state robustness rather than uniform overall dominance. In particular, when the baseline forecast remains exposed to proxy imperfection in stressed states, lower or intermediate proxy reliance can outperform fully proxy-scaled recalibration in stressed left-tail VaR control.