Related papers: Haar Wavelets-Based Approach for Quantifying Credi…
To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk measures such as Value-at-Risk (VaR) and Expected Shortfall…
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…
A long memory and non-linear realized volatility model class is proposed for direct Value at Risk (VaR) forecasting. This model, referred to as RNN-HAR, extends the heterogeneous autoregressive (HAR) model, a framework known for efficiently…
Worst-case risk measures refer to the calculation of the largest value for risk measures when only partial information of the underlying distribution is available. For the popular risk measures such as Value-at-Risk (VaR) and Conditional…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Abrupt change detection based on the wavelet transform and threshold method is very effective in detecting the abrupt changes and hence segmenting the signals recorded during disturbances in the electrical power network. The wavelet method…
Quantification of risk positions under model uncertainty is of crucial importance from both viewpoints of external regulation and internal management. The concept of model uncertainty, sometimes also referred to as model ambiguity. Although…
For many real-world decision-making problems subject to uncertainty, it may be essential to deal with multiple and often conflicting objectives while taking the decision-makers' risk preferences into account. Conditional value-at-risk…
We study the possibility of completing data bases of a sample of governance, diversification and value creation variables by providing a well adapted method to reconstruct the missing parts in order to obtain a complete sample to be applied…
We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear…
While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with…
Risk management is a prominent issue in peer-to-peer lending. An investor may naturally reduce his risk exposure by diversifying instead of putting all his money on one loan. In that case, an investor may want to minimize the Value-at-Risk…
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by…
We present a computational method for measuring financial risk by estimating the Value at Risk and Expected Shortfall from financial series. We have made two assumptions: First, that the predictive distributions of the values of an asset…
In this work, we propose the Haar wavelet method for the coupled degenerate reaction-diffusion PDEs and the ODEs having non-linear a source with Neumann boundary, applicable in various fields of the natural sciences, engineering, and…
Estimating accurate high-dimensional transformations remains very challenging, especially in a clinical setting. In this paper, we introduce a multiscale parameterization of deformations to enhance registration and atlas estimation in the…
This paper introduces a novel approach to financial risk assessment by incorporating topological data analysis (TDA), specifically cohomology groups, into the evaluation of equities portfolios. The study aims to go beyond traditional risk…
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…