Risk Management
We address the problem of estimating the expected shortfall risk of a financial loss using a finite number of i.i.d. data. It is well known that the classical plug-in estimator suffers from poor statistical performance when faced with…
This paper addresses a key challenge in CDO modeling: achieving a perfect fit to market prices across all tranches using a single, consistent model. The existence of such a perfect-fit model implies the absence of arbitrage among CDO…
I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-section of individual stocks. Using CRSP daily data, each month is…
Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measure. This measure is typically assumed fixed. Here, we adopt…
This study introduces a new analytical framework for quantifying multivariate risk measures. Using the Wishart process, which is a stochastic process with values in the space of positive definite matrices, we derive several conditional tail…
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. Joint exchangeability is a more general probabilistic…
Risk forecasts drive trading constraints and capital allocation, yet losses are nonstationary and regime-dependent. This paper studies sequential one-sided VaR control via conformal calibration. I propose regime-weighted conformal risk…
We propose a new class of monetary risk measures for assessing financial and ESG risk. The construction is based on classical shortfall risk measures with loss function replaced by a multi-attribute utility function. We present an extensive…
In this paper, we present a methodology for measuring the impact of scenarios on the expected losses of exposures by leveraging the existing provisioning infrastructure within financial institutions, where scenario effects are captured…
The Fundamental Review of the Trading Book (FRTB) poses a significant challenge for exotic derivatives pricing, particularly for non-modelable risk factors (NMRF) where sparse market data leads to infinite audit bounds under classical…
We investigate the ordering between two fundamental measures of dispersion for real-valued risks: the standard deviation (SD) and the Gini mean difference (GMD). Our analysis is driven by a single structural object, namely the mean excess…
Algorithmic stablecoins promise decentralized monetary stability by maintaining a target peg through programmatic reserve management. Yet, their reserve controllers remain vulnerable to regime-blind optimization, calibrating risk parameters…
We introduce a new actuarial tail-shape index, the $\theta$-index, based on a probability equal level relationship between Value at Risk and Expected Shortfall. The index is defined at each tail probability level as the parameter value for…
In the pursuit of modelling a loan's probability of default (PD) over its lifetime, repeat default events are often ignored when using Cox Proportional Hazard (PH) models. Excluding such events may produce biased and inaccurate…
Market integrity monitoring is difficult because suspicious price/volume behavior can arise from many benign mechanisms, while modern detection systems often rely on opaque models that are hard to audit and communicate. We present AIMM-X,…
The integration of cryptocurrencies into institutional portfolios necessitates the adoption of robust risk modeling frameworks. This study is a part of a series of subsequent works to fine-tune model risk analysis for cryptocurrencies.…
Risk measures such as Conditional Value-at-Risk (CVaR) focus on extreme losses, where scarce tail data makes model error unavoidable. To hedge misspecification, one evaluates worst-case tail risk over an ambiguity set. Using Extreme Value…
Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial markets has increased significantly. This underscores the…
We document regime-dependent predictive structure between equity factors using 35 years of Fama-French data (1990-2024). We find that Value (HML) Granger-causes Size (SMB) during crisis regimes (p < 1e-4, 9-day lag) but not during normal…
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that,…