Related papers: A Dynamical Approach to Operational Risk Measureme…
Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
Process analytics is an umbrella of data-driven techniques which includes making predictions for individual process instances or overall process models. At the instance level, various novel techniques have been recently devised, tackling…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
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…
Employee theft and dishonesty is a major contributor to loss in the retail industry. Retailers have reported the need for more automated analytic tools to assess the liability of their employees. In this work, we train and optimize several…
Business process simulation is a versatile technique to predict the impact of one or more changes on the performance of a process. Mainstream approaches in this space suffer from various limitations, some stemming from the fact that they…
This work proposes a new and flexible unreliable failure detector whose output is related to the trust level of a set of processes. By expressing the relevance of each process of the set by an impact factor value, our approach allows the…
Nowadays, companies are highly exposed to cyber security threats. In many industrial domains, protective measures are being deployed and actively supported by standards. However the global process remains largely dependent on document…
We present a novel approach for the bank's decision problem, incorporating Limited Liability in the objective function. Accordingly, we consider continuous time models, with and without Limited Liability. We compare the solutions of these…
Regulation, legal liabilities, and societal concerns challenge the adoption of AI in safety and security-critical applications. One of the key concerns is that adversaries can cause harm by manipulating model predictions without being…
This paper is concerned with a simulation study for a stochastic production network model, where the capacities of machines may change randomly. We introduce performance measures motivated by risk measures from finance leading to a…
Business Processes, i.e., a set of coordinated tasks and activities to achieve a business goal, and their continuous improvements are key to the operation of any organization. In banking, business processes are increasingly dynamic as…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…
Business collaboration networks provide collaborative organizations a favorable context for automated business process interoperability. This paper aims to present a novel approach for assessing interoperability of process driven services…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
The rise of transient faults in modern hardware requires system designers to consider errors occurring at runtime. Both hardware- and software-based error handling must be deployed to meet application reliability requirements. The level of…
This work considers the problem of detecting signals from multiple sequentially observed data streams, where only one stream can be observed at every time instant. The goal is to detect signals as quickly as possible while controlling the…
In dynamic systems that adapt to users' needs and changing environments, dependability needs cannot be avoided. This paper proposes an orthogonal fault tolerance model as a means to manage and reason about multiple fault tolerance…