Results 51 to 60 of about 5,554 (110)
Cyber Risk Assessment for Capital Management
, 2023 Cyber risk is an omnipresent risk in the increasingly digitized world that is known to be difficult to manage. This paper proposes a two-pillar cyber risk management framework to address such difficulty.
Chong, Wing Fung +3 more
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Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective [PDF]
, 2019 We propose a simple model to simulate an interaction between banks and a financial market. In our model, banks are exposed to two sources of risks: market risk from their investments in assets external to the banking system and credit risk from lending ...
Isogai, T, Sato, AH, Tasca, P
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Supply Chain Characteristics as Predictors of Cyber Risk: A Machine-Learning Assessment
, 2023 This paper provides the first large-scale data-driven analysis to evaluate the predictive power of different attributes for assessing risk of cyberattack data breaches.
Hu, Kevin +3 more
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, 2023 The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent data.
Teruzzi, Andrea
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Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary [PDF]
, 2020 We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions.
Dimitriadis, Timo +2 more
core +1 more source
A cohort-based Partial Internal Model for demographic risk
, 2023 We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance policies based on a ...
Clemente, Gian Paolo +2 more
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, 2023 The paper investigates the robust optimized certainty equivalents and analyzes the relevant properties of them as risk measures for loss positions with distribution uncertainty.
Li, Weiwei, Tian, Dejian
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Cash-subadditive risk measures without quasi-convexity
, 2022 In the literature of risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims.
Han, Xia +3 more
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Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network
, 2022 The bailout strategy is crucial to cushion the massive loss caused by systemic risk in the financial system. There is no closed-form formulation of the optimal bailout problem, making solving it difficult.
Ma, Jiali +3 more
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