Related papers: A Dynamical Approach to Operational Risk Measureme…
This paper investigates the stakes of introducing probabilistic approaches for the management of power system's security. In real-time operation, the aim is to arbitrate in a rational way between preventive and corrective control, while…
This contribution deals with identification of fractional-order dynamical systems. System identification, which refers to estimation of process parameters, is a necessity in control theory. Real processes are usually of fractional order as…
For large-scale industrial processes under closed-loop control, process dynamics directly resulting from control action are typical characteristics and may show different behaviors between real faults and normal changes of operating…
In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…
According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. In general risk is measured in terms of a probability combination of an event (frequency) and its…
Inspired by widely-used techniques of causal modelling in risk, failure, and accident analysis, this work discusses a compositional framework for risk modelling. Risk models capture fragments of the space of risky events likely to occur…
Modern autonomous systems rely on perception modules to process complex sensor measurements into state estimates. These estimates are then passed to a controller, which uses them to make safety-critical decisions. It is therefore important…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
On March 4th 2016 the Basel Committee on Banking Supervision published a consultative document where a new methodology, called the Standardized Measurement Approach (SMA), is introduced for computing Operational Risk regulatory capital for…
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for…
A key goal of the System-Theoretic Process Analysis (STPA) hazard analysis technique is the identification of loss scenarios - causal factors that could potentially lead to an accident. We propose an approach that aims to assist engineers…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
We introduce and study a variational framework for the analysis of empirical risk based inference for dynamical systems and ergodic processes. The analysis applies to a two-stage estimation procedure in which (i) the trajectory of an…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
Open Banking powered machine learning applications require novel robustness approaches to deal with challenging stress and failure scenarios. In this paper we propose an hierarchical fallback architecture for improving robustness in high…
Predictive Process Monitoring aims to forecast the future progress of process instances using historical event data. As predictive process monitoring is increasingly applied in online settings to enable timely interventions, evaluating the…
The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a…
Process analytics approaches allow organizations to support the practice of Business Process Management and continuous improvement by leveraging all process-related data to extract knowledge, improve process performance and support…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `correct'. We draw the distinction between `external' and…