Related papers: Model Risk Analysis via Investment Structuring

We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government…

This paper is concerned with a simulation study for a stochastic production network model, where the capacities of machines may change randomly. We introduce performance measures motivated by risk measures from finance leading to a…

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…

In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources.…

Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…

This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…

In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].

The importance of mission or safety critical software systems in many application domains of embedded systems is continuously growing, and so is the effort and complexity for reliability and safety analysis. Model driven development is…

We explain the quantum structure as due to the presence of two effects, (a) a real change of state of the entity under influence of the measurement and, (b) a lack of knowledge about a deeper deterministic reality of the measurement…

Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…

Attack-defense trees are a novel methodology for graphical security modeling and assessment. The methodology includes visual, intuitive tree models whose analysis is supported by a rigorous mathematical formalism. Both, the intuitive and…

Quantitative aspects of computation are related to the use of both physical and mathematical quantities, including time, performance metrics, probability, and measures for reliability and security. They are essential in characterizing the…

The crafting of machine learning (ML) based systems requires statistical control throughout its life cycle. Careful quantification of business requirements and identification of key factors that impact the business requirements reduces the…

Statistics is sometimes described as the science of reasoning under uncertainty. Statistical models provide one view of this uncertainty, but what is frequently neglected is the 'invisible' portion of uncertainty: that assumed not to exist…

We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…

Structured prediction problems are one of the fundamental tools in machine learning. In order to facilitate algorithm development for their numerical solution, we collect in one place a large number of datasets in easy to read formats for a…

Quantum information and computation may serve as a source of useful axioms and ideas for the quantum logic/quantum structures project of characterizing and classifying types of physical theories, including quantum mechanics and classical…

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We…

Credit risk management, the practice of mitigating losses by understanding the adequacy of a borrower's capital and loan loss reserves, has long been imperative to any financial institution's long-term sustainability and growth. MassMutual…

Qualitative modelling is a technique integrating the fields of theoretical computer science, artificial intelligence and the physical and biological sciences. The aim is to be able to model the behaviour of systems without estimating…