Related papers: Multivariate Shortfall Risk Allocation and Systemi…

Much of uncertainty quantification to date has focused on determining the effect of variables modeled probabilistically, and with a known distribution, on some physical or engineering system. We develop methods to obtain information on the…

Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…

We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled in the constraints. This problem is of interest when it is…

For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in…

We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…

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…

We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated…

The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…

The risk premium of a policy is the sum of the pure premium and the risk loading. In the classification ratemaking process, generalized linear models are usually used to calculate pure premiums, and various premium principles are applied to…

We study randomized quasi-Monte Carlo (RQMC) estimation of a multivariate integral where one of the variables takes only a finite number of values. This problem arises when the variable of integration is drawn from a mixture distribution as…

The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…

Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for systemic risk measures. First, we classify them into two…

In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…

Solving chance-constrained optimal control problems for systems subject to non-stationary uncertainties is a significant challenge.Conventional robust model predictive control (MPC) often yields excessive conservatism by relying on static…

We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a general nonlinear function of two factors whose marginal distributions are known, but whose joint distribution is unknown.…

We consider a control problem for a finite-state Markov system whose performance is evaluated by a coherent Markov risk measure. For each policy, the risk of a state is approximated by a function of its features, thus leading to a…

The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $\alpha$-risk plays a…

We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…

The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…

This paper considers links between the original risk-sensitive performance criterion for quantum control systems and its recent quadratic-exponential counterpart. We discuss a connection between the minimization of these cost functionals…