Related papers: The Temporal Dimension of Risk
This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties…
We present a framework to interpret signal temporal logic (STL) formulas over discrete-time stochastic processes in terms of the induced risk. Each realization of a stochastic process either satisfies or violates an STL formula. In fact, we…
Measuring and managing risk has become crucial in modern decision making under stochastic uncertainty. In two-stage stochastic programming, mean risk models are essentially defined by a parametric recourse problem and a quantification of…
Statistical differentiability of the measure along the reconstructed trajectory is a good candidate to quantify determinism in time series. The procedure is based upon a formula that explicitly shows the sensitivity of the measure to…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
Many real-world objects can be modeled as a stream of events on the nodes of a graph. In this paper, we propose a class of graphical event models named temporal point process graphical models for representing the temporal dependencies among…
For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main features are that they measure risk of processes that are functions of the history of a base…
This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `correct'. We draw the distinction between `external' and…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
he evaluation of the impact of actions undertaken is essential in management. This paper assesses the impact of efforts considered to mitigate risk and create safe environments on a global scale. We measure this impact by looking at the…
Dimensionality reduction methods are an essential tool for multidimensional data analysis, and many interesting processes can be studied as time-dependent multivariate datasets. There are, however, few studies and proposals that leverage on…
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures of risk. We formalize drawdown…
In this study, we present a method to measure changes over time of fractal dimension. We confirmed that our method can calculate the fractal dimension with the same precision as conventional methods, and tracking performance of our method…
Structure of real networked systems, such as social relationship, can be modeled as temporal networks in which each edge appears only at the prescribed time. Understanding the structure of temporal networks requires quantifying the…
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for…
When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this…
Evaluating robustness under temporal distribution shift remains an open challenge. Existing metrics quantify the average decline in performance, but fail to capture how models adapt to evolving data. As a result, temporal degradation is…
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk measures, designed to capture volatility or drawdowns, overlook…