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Safety alignment is crucial to ensure that large language models (LLMs) behave in ways that align with human preferences and prevent harmful actions during inference. However, recent studies show that the alignment can be easily compromised…
In contrast to the usual Lipschitz seminorms associated to ordinary metrics on compact spaces, we show by examples that Lipschitz seminorms on possibly non-commutative compact spaces are usually not determined by the restriction of the…
This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics and industry professionals. The current…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
We describe a general framework for measuring risks, where the risk measure takes values in an abstract cone. It is shown that this approach naturally includes the classical risk measures and set-valued risk measures and yields a natural…
Margin-based learning, exemplified by linear and kernel methods, is one of the few classical settings where generalization guarantees are independent of the number of parameters. This makes it a central case study in modern highly…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
In order to measure qualitative properties we introduce a notion of a type for arbitrary normed spaces which measures the worst possible growth of partial sums of sequences weakly converging to zero. The ideas can be traced back to Banach…
Necessary and sufficient criteria for metric subregularity (or calmness) of set-valued mappings between general metric or Banach spaces are treated in the framework of the theory of error bounds for a special family of extended real-valued…
We propose a generalization of the classical notion of the $V@R_{\lambda}$ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a…
Let $\{Y_i\}_{i=1}^{\infty}$ be a stationary reversible Markov chain with state space $[N]$, let $(X, \| \cdot \|)$ be a real-valued Banach space and let $f_1, \ldots, f_n: [N] \rightarrow X$ be functions with mean $0$ such that $\|f_i(v)\|…
I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are ``more risk-averse'' than others. I construct the…
Mean-deviation models, along with the existing theory of coherent risk measures, are well studied in the literature. In this paper, we characterize monotonic mean-deviation (risk) measures from a general mean-deviation model by applying a…
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we…
A Banach space (or its norm) is said to have the diameter $2$ property (D$2$P in short) if every nonempty relatively weakly open subset of its closed unit ball has diameter $2$. We construct an equivalent norm on $L_1[0,1]$ which is weakly…
This paper considers $C^2$ random dynamical systems in a Banach space, and proves that under some mild conditions, SRB measures are characterized by invariant measures satisfying Pesin's entropy formula, in which entropy is equal to the sum…
A one-to-one correspondence is drawn between law invariant risk measures and divergences, which we define as functionals of pairs of probability measures on arbitrary standard Borel spaces satisfying a few natural properties. Divergences…
Quasi-invariant and pseudo-differentiable measures on a Banach space $X$ over a non-Archimedean locally compact infinite field with a non-trivial valuation are defined and constructed. Measures are considered with values in non-Archimedean…
We present and thoroughly study natural Polish spaces of separable Banach spaces. These spaces are defined as spaces of norms, resp. pseudonorms, on the countable infinite-dimensional rational vector space. We provide an exhaustive…
Set-valued risk measures on $L^p_d$ with $0 \leq p \leq \infty$ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim…