Related papers: The Temporal Dimension of Risk
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
Models for financial risk often assume that underlying asset returns are stationary. However, there is strong evidence that multivariate financial time series entail changes not only in their within-series dependence structure, but also in…
In the field of financial fraud detection, understanding the underlying patterns and dynamics is important to ensure effective and reliable systems. This research introduces a new technique, "TimeTrail," which employs advanced temporal…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
In this paper we extend temporal difference policy evaluation algorithms to performance criteria that include the variance of the cumulative reward. Such criteria are useful for risk management, and are important in domains such as finance…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to…
This study introduces a set of metrics for evaluating temporal preservation in synthetic longitudinal patient data, defined as artificially generated data that mimic real patients' repeated measurements over time. The proposed metrics…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
Stochastic biochemical and transport processes have various final outcomes, and they can be viewed as dynamic systems with multiple exits. Many current theoretical studies, however, typically consider only a single time scale for each…
Temporal networks, i.e., networks in which the interactions among a set of elementary units change over time, can be modelled in terms of time-varying graphs, which are time-ordered sequences of graphs over a set of nodes. In such graphs,…
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the…
Many stochastic time series can be modelled by discrete random walks in which a step of random sign but constant length $\delta x$ is performed after each time interval $\delta t$. In correlated discrete time random walks (CDTRWs), the…
In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…
Time irreversibility, defined as the lack of invariance of the statistical properties of a system or time series under the operation of time reversal, has received an increasing attention during the last decades, thanks to the information…
We consider the problem of sequentially testing for changes in the mean parameter of a time series, compared to a benchmark period. Most tests in the literature focus on the null hypothesis of a constant mean versus the alternative of a…
Temporal logics provide a formalism for expressing complex system specifications. A large body of literature has addressed the verification and the control synthesis problem for deterministic systems under such specifications. For…
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…