Related papers: A Dynamical Approach to Operational Risk Measureme…
This work proposes a way to align statistical modeling with decision making. We provide a method that propagates the uncertainty in predictive modeling to the uncertainty in operational cost, where operational cost is the amount spent by…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach…
This article provides an overview of model predictive control (MPC) frameworks for dynamic operation of nonlinear constrained systems. Dynamic operation is often an integral part of the control objective, ranging from tracking of reference…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
Given two random variables $X$ and $Y$, an operational approach is undertaken to quantify the ``leakage'' of information from $X$ to $Y$. The resulting measure $\mathcal{L}(X \!\! \to \!\! Y)$ is called \emph{maximal leakage}, and is…
In this paper, we introduce a probabilistic approach to risk assessment of robot systems by focusing on the impact of uncertainties. While various approaches to identifying systematic hazards (e.g., bugs, design flaws, etc.) can be found in…
We present a probabilistic model of an intrusion in a renewal process. Given a process and a sequence of events, an intrusion is a subsequence of events that is not produced by the process. Applications of the model are, for example, online…
Business process simulation is an approach to evaluate business process changes prior to implementation. Existing methods in this field primarily support tactical decision-making, where simulations start from an empty state and aim to…
Organizations that develop software have recognized that software process models are particularly useful for maintaining a high standard of quality. In the last decade, simulations of software processes were used in several settings and…
We present a new, tractable method for solving and analyzing risk-aware control problems over finite and infinite, discounted time-horizons where the dynamics of the controlled process are described as a martingale problem. Supposing…
Financial market risk forecasting involves applying mathematical models, historical data analysis and statistical methods to estimate the impact of future market movements on investments. This process is crucial for investors to develop…
In this paper, we discuss aspects of model risk management in financial institutions which could be adopted by academic institutions to improve the process of conducting academic research, identify and mitigate existing limitations,…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
While attack graphs are useful for identifying major cybersecurity threats affecting a system, they do not provide operational support for determining the likelihood of having a known vulnerability exploited, or that critical system nodes…
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to…
By adopting a distributional viewpoint on law-invariant convex risk measures, we construct dynamics risk measures (DRMs) at the distributional level. We then apply these DRMs to investigate Markov decision processes, incorporating latent…
Clinical trials are characterized by high costs, extended timelines, and substantial operational risk, yet reliable prospective methods for predicting trial success before initiation remain limited. Existing artificial intelligence…