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Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
Low-Rank Adaptation (LoRA) is currently the most commonly used Parameter-efficient fine-tuning (PEFT) method, it introduces auxiliary parameters for each layer to fine-tune the pre-trained model under limited computing resources. However,…
Banks and financial institutions all over the world manage portfolios containing tens of thousands of customers. Not all customers are high credit-worthy, and many possess varying degrees of risk to the Bank or financial institutions that…
Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is also finding applications beyond these areas. In finance, it…
The estimand framework provides guidance on handling intercurrent events, such as treatment discontinuation, in the analysis of clinical trial responses. Under ICH E9(R1), the treatment policy (TP) strategy incorporates post-discontinuation…
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches…
We consider the problem of on-line evaluation of critical characteristic parameters such as the L_2-gain (L2G), input feedforward passivity index (IFP) and output feedback passivity index (OFP) of non-linear systems using their input-output…
Modern computational models in supervised machine learning are often highly parameterized universal approximators. As such, the value of the parameters is unimportant, and only the out of sample performance is considered. On the other hand…
Statistical methods with empirical likelihood (EL) are appealing and effective especially in conjunction with estimating equations through which useful data information can be adaptively and flexibly incorporated. It is also known in the…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
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…
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…
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…
Parameter estimation is a foundational step in statistical modeling, enabling us to extract knowledge from data and apply it effectively. Bayesian estimation of parameters incorporates prior beliefs with observed data to infer distribution…
In this article, by using composite asymmetric least squares (CALS) and empirical likelihood, we propose a two-step procedure to estimate the conditional value at risk (VaR) and conditional expected shortfall (ES) for the GARCH series.…
When a mathematical or computational model is used to analyse some system, it is usual that some parameters resp.\ functions or fields in the model are not known, and hence uncertain. These parametric quantities are then identified by…
The entropic uncertainty relation (EUR) is of significant importance in the security proof of continuous-variable quantum key distribution under coherent attacks. The parameter estimation in the EUR method contains the estimation of the…
Estimands using the treatment policy strategy for addressing intercurrent events are common in Phase III clinical trials. One estimation approach for this strategy is retrieved dropout whereby observed data following an intercurrent event…
Hazard and impact analysis is an indispensable task during the specification and development of safety-critical technical systems, and particularly of their software-intensive control parts. There is a lack of methods supporting an…