Related papers: Loss Distribution Approach for Operational Risk Ca…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
Research, innovation and practical capital investment have been increasing rapidly toward the realization of autonomous physical agents. This includes industrial and service robots, unmanned aerial vehicles, embedded control devices, and a…
Stablecoins have turned out to be the "killer" use case of the growing digital asset space. However, risk management frameworks, including regulatory ones, have been largely absent. In this paper, we address the critical question of…
Machine learning (ML) algorithms deployed in real-world environments are often faced with the challenge of adapting models to concept drift, where the task data distributions are shifting over time. The problem becomes even more difficult…
Process mining represents an important field in BPM and data mining research. Recently, it has gained importance also for practitioners: more and more companies are creating business process intelligence solutions. The evaluation of process…
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical…
Most classification methods provide either a prediction of class membership or an assessment of class membership probability. In the case of two-group classification the predicted probability can be described as "risk" of belonging to a…
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks…
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…
Deep learning algorithms can fare poorly when the training dataset suffers from heavy class-imbalance but the testing criterion requires good generalization on less frequent classes. We design two novel methods to improve performance in…
While developing an information system for the University of Bern, we were faced with two major issues: managing software changes and adapting Business Information Models. Software techniques well-suited to software development teams exist,…
Recently the European Union Agency for Railways (ERA) has received a mandate for 'the development of common safety methods for assessing the safety level and the safety performance of railway operators at national and Union level'.…
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate…
The four-parameter generalized beta distribution of the second kind (GBII) has been proposed for modelling insurance losses with heavy-tailed features. The aim of this paper is to present a parametric composite GBII regression modelling by…
Risk-based authentication (RBA) aims to protect end-users against attacks involving stolen or otherwise guessed passwords without requiring a second authentication method all the time. Online services typically set limits on what is still…
There has been a significant amount of research into spreadsheets over the last two decades. Errors in spreadsheets are well documented. Once used mainly for simple functions such as logging, tracking and totalling information, spreadsheets…