Related papers: Dynamic Coherent Acceptability Indices and their A…
In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
With the increasing flexibilization of processes, determining robust scheduling decisions has become an important goal. Traditionally, the flexibility index has been used to identify safe operating schedules by approximating the admissible…
We describe the notion of stability of coherent systems as a framework to deal with redundancy. We define stable coherent systems and show how this notion can help the design of reliable systems. We demonstrate that the reliability of…
We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated…
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation…
In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are…
Prediction sets provide a means of quantifying the uncertainty in predictive tasks. Using held out calibration data, conformal prediction and risk control can produce prediction sets that exhibit statistically valid error control in a…
Criteria are presented for testing whether every trajectory of a dynamic integer system converges to the same fixed point
In reliability-based design, the estimation of the failure probability is a crucial objective. However, focusing only on the occurrence of the failure event may be insufficient to entirely characterize the reliability of the considered…
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and…
During modeling of dynamical systems, often two or more model architectures are combined to obtain a more powerful or efficient model regarding a specific application area. This covers the combination of multiple machine learning…
This paper studies a fundamental mechanism of how to detect a conflict between arguments given sentiments regarding acceptability of the arguments. We introduce a concept of the inverse problem of the abstract argumentation to tackle the…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
This paper presents a new theory, known as robust dynamic pro- gramming, for a class of continuous-time dynamical systems. Different from traditional dynamic programming (DP) methods, this new theory serves as a fundamental tool to analyze…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
Recently, literature on dynamic coherent risk measures has broadened the choices for risk-sensitive performance evaluation. A running example includes Cumulative prospect theory and Conditional variance at risk. Most of them can be can be…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^p(\Omega,\mathcal F, P; R^d)$ with image space in the power set of $L^p(\Omega,\mathcal F_t,P;R^d)$.…