Related papers: RiskRank: Measuring interconnected risk
Machine learning typically presupposes classical probability theory which implies that aggregation is built upon expectation. There are now multiple reasons to motivate looking at richer alternatives to classical probability theory as a…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…
Cyber threats affect all kinds of organisations. Risk analysis is an essential methodology for cybersecurity as it allows organisations to deal with the cyber threats potentially affecting them, prioritise the defence of their assets and…
We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
Risk matrices are widely used across a range of fields and have found increasing utility in warning decision practices globally. However, their application in this context presents challenges, which range from potentially perverse warning…
Risk scores are an interpretable and actionable class of machine learning models with applications in medicine, insurance, and risk management. Unlike most computational methods, risk scores are designed to be computed by a human by…
Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, risk functionals constitute a fundamental building block in…
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…
This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined using a general aggregation function with some continuity…
SimRank is a widely studied link-based similarity measure that is known for its simple, yet powerful philosophy that two nodes are similar if they are referenced by similar nodes. While this philosophy has been the basis of several…
Over the last years, we have seen several security incidents that compromised system safety, of which some caused physical harm to people. Meanwhile, various risk assessment methods have been developed that integrate safety and security,…
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
The Risk Ratio (RR) is the ratio of the outcome among the exposed to risk of the outcome among the unexposed. This is a simple concept, which makes one wonder why it has not gained the same popularity as the odds ratio. Using logistic…
Security metrics present the security level of a system or a network in both qualitative and quantitative ways. In general, security metrics are used to assess the security level of a system and to achieve security goals. There are a lot of…