Results 91 to 100 of about 80,406 (115)
Lessons From Model Risk Management in Financial Institutions for Academic Research [PDF]
arXivIn this paper, we discuss aspects of model risk management in financial institutions which could be adopted by academic institutions to improve the process of conducting academic research, identify and mitigate existing limitations, decrease the possibility of erroneous results, and prevent fraudulent activities.
arxiv
P2P Loan acceptance and default prediction with Artificial Intelligence [PDF]
, 2019 Logistic Regression and Support Vector Machine algorithms, together with Linear and Non-Linear Deep Neural Networks, are applied to lending data in order to replicate lender acceptance of loans and predict the likelihood of default of issued loans. A two
Aste, T, Turiel, JD
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An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic dominance.
Chen, Yuyu, Embrechts, Paul, Wang, Ruodu
core
Modeling and Analysis of Crypto-Backed Over-Collateralized Stable Derivatives in DeFi
In decentralized finance (DeFi), stablecoins like DAI are designed to offer a stable value amidst the fluctuating nature of cryptocurrencies. We examine the class of crypto-backed stable derivatives, with a focus on mechanisms for price stabilization ...
Feng, Zhenbang +2 more
core
A new characterization of second-order stochastic dominance
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with negative expected value in adverse scenarios makes the resulting position ...
Guan, Yuanying +2 more
core
Some properties of Euler capital allocation
The paper discusses capital allocation using the Euler formula and focuses on the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new results connected to this capital allocation is known.
Holden, Lars
core
Supply chain resilience analysis aims to identify the critical elements in the supply chain, measure its reliability, and analyze solutions for improving vulnerabilities.
Ballot, Eric, Pan, Shenle, Pang, Yaxin
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Text mining arXiv: a look through quantitative finance papers
This paper explores articles hosted on the arXiv preprint server with the aim to uncover valuable insights hidden in this vast collection of research. Employing text mining techniques and through the application of natural language processing methods, we
Bianchi, Michele Leonardo
core
Real-time Risk Metrics for Programmatic Stablecoin Crypto Asset-Liability Management (CALM)
Stablecoins have turned out to be the "killer" use case of the growing digital asset space. However, risk management frameworks, including regulatory ones, have been largely absent.
Bluhm, Marcel +3 more
core
Optimal Transport Divergences induced by Scoring Functions
We employ scoring functions, used in statistics for eliciting risk functionals, as cost functions in the Monge-Kantorovich (MK) optimal transport problem.
Pesenti, Silvana M., Vanduffel, Steven
core