Related papers: Continuous compliance: a proxy-based monitoring fr…
Solving the chemical master equation exactly is typically not possible, so instead we must rely on simulation based methods. Unfortunately, drawing exact realisations, results in simulating every reaction that occurs. This will preclude the…
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence…
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…
Model mismatches prevail in real-world applications. Ensuring safety for systems with uncertain dynamic models is critical. However, existing robust safe controllers may not be realizable when control limits exist. And existing methods use…
Regulatory compliance is a well-studied area, including research on how to model, check, analyse, enact, and verify compliance of software. However, while the theoretical body of knowledge is vast, empirical evidence on challenges with…
Financial inclusion depends on providing adjusted services for citizens with disclosed vulnerabilities. At the same time, the financial industry needs to adhere to a strict regulatory framework, which is often in conflict with the desire…
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which…
Formal verification techniques such as model checking, are becoming popular in hardware design. SAT-based model checking techniques such as IC3/PDR, have gained a significant success in hardware industry. In this paper, we present a new…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
In this paper, we present a robust adaptive model predictive control (MPC) scheme for linear systems subject to parametric uncertainty and additive disturbances. The proposed approach provides a computationally efficient formulation with…
We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures introduced in…
Science and engineering problems subject to uncertainty are frequently both computationally expensive and feature nonsmooth parameter dependence, making standard Monte Carlo too slow, and excluding efficient use of accelerated uncertainty…
We present complexity and numerical results for a new asynchronous parallel algorithmic method for the minimization of the sum of a smooth nonconvex function and a convex nonsmooth regularizer, subject to both convex and nonconvex…
The forecasting of credit default risk has been an active research field for several decades. Historically, logistic regression has been used as a major tool due to its compliance with regulatory requirements: transparency, explainability,…
The detection of anisotropies with respect to a given direction in a vector field is a common problem in astronomy. Several methods have been proposed that rely on the distribution of the acute angles between the data and a reference…
Heavy use of spreadsheets by organisations bears many potential risks such as errors, ambiguity, data loss, duplication, and fraud. In this paper these risks are briefly outlined along with their available mitigation methods such as:…
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…
Parameterizing mathematical models of biological systems often requires fitting to stable periodic data. In cardiac electrophysiology this typically requires converging to a stable action potential through long simulations. We explore this…
We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and another family of parallel hyperplanes or a family of…
Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory capital rules coming into force in 2007, the exact contributions to credit value-at-risk can only be calculated with Monte-Carlo simulation or with…