Related papers: Value-at-Risk time scaling for long-term risk esti…
This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal…
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this assumption this procedure of scaling can…
We conduct a non asymptotic study of the Cross Validation (CV) estimate of the generalization risk for learning algorithms dedicated to extreme regions of the covariates space. In this Extreme Value Analysis context, the risk function…
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued risk statistics by introducing the time value of money. In…
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…
This paper consider considers the problem of locating a two dimensional target from range-measurements containing outliers. Assuming that the number of outlier is known, we formulate the problem of minimizing inlier losses while ignoring…
The Generalized Extreme Value (GEV) distribution plays a critical role in risk assessment across various domains, such as hydrology, climate science, and finance. In this study, we investigate its application in analyzing intraday trading…
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold…
The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we restrict ourselves to the case when the tail parts of…
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random…
Estimating customer lifetime value (CLV or LTV) is extremely important for making better business decisions. The proposed flexible proportional hazards model allows an estimation of lifetime value in contractual settings. This approach…
Capital allocation is a procedure used to assess the risk contributions of individual risk components to the total risk of a portfolio. While the conditional tail expectation (CTE)-based capital allocation is arguably the most popular…
Value-at-Risk and its conditional allegory, which takes into account the available information about the economic environment, form the centrepiece of the Basel framework for the evaluation of market risk in the banking sector. In this…
Conditional Value-at-Risk (CVaR) is a central tail-risk measure in stochastic structural mechanics, yet its accurate evaluation under high-dimensional, spatially correlated material uncertainty remains computationally prohibitive for…
This report presents a comprehensive evaluation of three Value-at-Risk (VaR) modeling approaches: Historical Simulation (HS), GARCH with Normal approximation (GARCH-N), and GARCH with Filtered Historical Simulation (FHS), using both…
Cryptocurrency market is known for exhibiting significantly higher volatility than traditional asset classes. Efficient and adequate risk calculation is vital for managing risk exposures in such market environments where extreme price…
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio…
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk…
Under Solvency II, the Value-at-Risk (VaR) is applied, although there is broad consensus that the Expected Shortfall (ES) constitutes a more appropriate risk measure. Moving towards ES would necessitate specifying the corresponding ES…
In this paper, we provide extended convolution bounds for the Fr\'{e}chet problem and discuss related implications in quantitative risk management. First, we establish a new form of inequality for the Range-Value-at-Risk (RVaR). Based on…