Results 1 to 10 of about 165 (66)
The impact of network inhomogeneities on contagion and system stability [PDF]
, 2012 This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well ...
Hübsch, Arnd, Walther, Ursula
core +1 more source
Regulator-based risk statistics for portfolios
, 2020 Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk.
Deng, Xiaochuan, Sun, Fei
core +1 more source
Beyond VaR and CVaR: Topological Risk Measures in Financial Markets
, 2023 This paper introduces a novel approach to financial risk assessment by incorporating topological data analysis (TDA), specifically cohomology groups, into the evaluation of equities portfolios.
Jha, Amit Kumar
core +1 more source
On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making [PDF]
, 2023 We study the effect of stochastic feeding costs on animal-based commodities with particular focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic behaviour of salmon feed, which we assume to follow a Schwartz-2-factor
Ewald, Christian Oliver, Kamm, Kevin
core +2 more sources
Risk in a large claims insurance market with bipartite graph structure
, 2015 We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail ...
Kley, Oliver +2 more
core +1 more source
The Probability Conflation: A Reply
, 2023 We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment methods (such as extreme value theory).
Carreira, Marcos +3 more
core
Divergence Based Quadrangle and Applications
, 2023 This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{$\varphi$-Divergence Quadrangle}.
Gupte, Siddhartha +3 more
core
, 2023 In the field of quantitative finance, volatility models, such as ARCH, GARCH, FIGARCH, SV, EWMA, play the key role in risk and portfolio management. Meanwhile, factor investing is more and more famous since mid of 20 century.
Zhang, Ke
core
Ranking of VaR and ES Models: Performance in developed and emerging markets [PDF]
, 2012 An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process.
Filer, Randall, Zikovic, Sasa
core
Second-order accuracy metrics for scoring models and their practical use
, 2022 The paper proposes new second-order accuracy metrics for scoring or rating models, which show the target preference of the model, it is better to diagnose good objects or better to diagnose bad ones for a constant generally accepted predictive power ...
Pomazanov, M. V.
core