Risk Management
This paper investigates the risk spillovers among AI ETFs, AI tokens, and green markets using the R2 decomposition method. We reveal several key insights. First, the overall transmission connectedness index (TCI) closely aligns with the…
Current risk assessment ignores the stochastic nature of energy storage availability itself and thus lead to potential risk during operation. This paper proposes the redefinition of generic energy storage (GES) that is allowed to offer…
The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…
The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
This study considers the Merton model with temporal correlation. We show the Merton model becomes Poisson process with the log-normal distributed intensity function in the limit. We discuss the relation between this model and Hawkes…
We study the optimal investment-reinsurance problem in the context of equity-linked insurance products. Such products often have a capital guarantee, which can motivate insurers to purchase reinsurance. Since a reinsurance contract implies…
Time series foundation models (FMs) have emerged as a popular paradigm for zero-shot multi-domain forecasting. These models are trained on numerous diverse datasets and claim to be effective forecasters across multiple different time series…
The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components. We propose a novel data-driven approach for simulating realistic, high-dimensional…
A multivariate risk analysis for VaR and CVaR using different copula families is performed on historical financial time series fitted with DCC-GARCH models. A theoretical background is provided alongside a comparison of goodness-of-fit…
This study is the first to analyze the performance of a time-series foundation AI model for Value-at-Risk (VaR), which essentially forecasts the left-tail quantiles of returns. Foundation models, pre-trained on diverse datasets, can be…
Decentralized finance (DeFi) is an integral component of the blockchain ecosystem, enabling a range of financial activities through smart-contract-based protocols. Traditional DeFi governance typically involves manual parameter adjustments…
The integration of Artificial Intelligence (AI) techniques, particularly large language models (LLMs), in finance has garnered increasing academic attention. Despite progress, existing studies predominantly focus on tasks like financial…
For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is…
We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks…
In the context of adapting to global changes, the diversification of the tourist offer seems to be a solution for the mid-mountain areas, which are structured around and dependent on ski tourism. However, it remains unclear how tourism…
We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of increasing complexity. We compare QMC vs standard Monte Carlo…
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected utility and the Cobb-Dauglas utility function, we establish…
Risk management in finance involves recognizing, evaluating, and addressing financial risks to maintain stability and ensure regulatory compliance. Extracting relevant insights from extensive regulatory documents is a complex challenge…
We estimate the loss of value that companies might suffer from nature overexploitation. We find that global equities shed 26.8% in a scenario of unabated nature decline, while the worst-performing firms lose ~75% of their value. Our risk…