Results 1 to 10 of about 80,406 (115)
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
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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
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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
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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
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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
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, 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
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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.
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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
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Incident-Specific Cyber Insurance
, 2023 In the current market practice, many cyber insurance products offer a coverage bundle for losses arising from various types of incidents, such as data breaches and ransomware attacks, and the coverage for each incident type comes with a separate limit ...
Chong, Wing Fung +3 more
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Validation of machine learning based scenario generators
, 2023 Machine learning methods are getting more and more important in the development of internal models using scenario generation. As internal models under Solvency 2 have to be validated, an important question is in which aspects the validation of these data-
Flaig, Solveig, Junike, Gero
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