Results 71 to 80 of about 80,406 (115)

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, Feng, Runhuan, Hu, Hins, Zhang, Linfeng   +3 more
core  

Systematic and multifactor risk models revisited [PDF]

arXiv, 2013
Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.
arxiv  

The Liar equilibrium in naked sovereign CDS trading : a financial economic approach

, 2011
This master's thesis aims at studying the impact of naked sovereign CDS trading by establishing a sequential trading model where the evolution of the market microstructure bid-ask spread is taken into account.
Zheng, Qiaoyang
core  

Russian interbank networks: main characteristics and stability with respect to contagion [PDF]

arXiv, 2012
Systemic risks characterizing the Russian overnight interbank market from the network point of view are analyzed.
arxiv  

Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach

, 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
core  

Risk measures and Margining control [PDF]

arXiv, 2016
This document constitutes the final report of the contractual activity between Directa SIM and Dipartimento di Automatica e Informatica, Politecnico di Torino, on the research topic titled "quantificazione del rischio di un portafoglio di strumenti finanziari per trading online su device fissi e mobili."
arxiv  

Monotone Sharpe ratios and related measures of investment performance [PDF]

arXiv, 2018
We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obtain an efficient representation for using in applications.
arxiv  

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, Liu, Xiaochun, Schnaitmann, Julie   +2 more
core   +1 more source

Assessing Stablecoin Credit Risks [PDF]

arXiv
This paper delves into the spectrum of credit risks associated with decentralized stablecoin issuance, ranging from overcollateralized lending to business-to-business credit. It examines the mechanisms, risks, and mitigation strategies at each layer, highlighting the potential for scaling decentralized stablecoins while ensuring systemic health.
arxiv  

Spectral Risk Measures and the Choice of Risk Aversion Function [PDF]

arXiv, 2011
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying spectral risk measures.
arxiv