Related papers: RiskRank: Measuring interconnected risk
This paper investigates systemic risk measures for stochastic financial networks of explicitly modelled bilateral liabilities. We extend the notion of systemic risk measures from Biagini, Fouque, Fritelli and Meyer-Brandis (2019) to graph…
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the…
Risk assessment is a major challenge for supply chain managers, as it potentially affects business factors such as service costs, supplier competition and customer expectations. The increasing interconnectivity between organisations has put…
With an ever growing number of extractive summarization techniques being proposed, there is less clarity then ever about how good each system is compared to the rest. Several studies highlight the variance in performance of these systems…
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
We introduce TechRank, a recursive algorithm based on a bi-partite graph with weighted nodes. We develop TechRank to link companies and technologies based on the method of reflection. We allow the algorithm to incorporate exogenous…
Disaggregated evaluation is a central task in AI fairness assessment, where the goal is to measure an AI system's performance across different subgroups defined by combinations of demographic or other sensitive attributes. The standard…
In this article we propose a general class of risk measures which can be used for data based evaluation of parametric models. The loss function is defined as generalized quadratic distance between the true density and the proposed model.…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…
In order to optimize the usage of testing efforts and to assess risks of software-based systems, risk-based testing uses risk (re-)assessments to steer all phases in a test process. Several risk-based testing approaches have been proposed…
In this paper, we measure systematic risk with a new nonparametric factor model, the neural network factor model. The suitable factors for systematic risk can be naturally found by inserting daily returns on a wide range of assets into the…
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of…
This study introduces a new analytical framework for quantifying multivariate risk measures. Using the Wishart process, which is a stochastic process with values in the space of positive definite matrices, we derive several conditional tail…
Cyber networks are fundamental to many organization's infrastructure, and the size of cyber networks is increasing rapidly. Risk measurement of the entities/endpoints that make up the network via available knowledge about possible threats…
Real-time traffic accident forecasting is increasingly important for public safety and urban management (e.g., real-time safe route planning and emergency response deployment). Previous works on accident forecasting are often performed on…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…