Related papers: Value-at-Risk and backtesting with the APARCH mode…
We present a study on portfolio investments in financial applications. We describe a general modeling and simulation framework and study the impact on the use of different metrics to measure the correlation among assets. In particular,…
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
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…
Although large language models (LLMs) are increasingly used in security-critical workflows, practitioners lack quantitative guidance on which safeguards are worth deploying. This paper introduces a decision-oriented framework and…
This paper introduces a novel sparse latent factor modeling framework using sparse asymptotic Principal Component Analysis (APCA) to analyze the co-movements of high-dimensional panel data over time. Unlike existing methods based on sparse…
Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are…
In this article we consider an aggregate loss model with dependent losses. The losses occurrence process is governed by a two-state Markovian arrival process (MAP2), a Markov renewal process process that allows for (1) correlated…
In this paper, a practical estimation method for a regression model is proposed using semiparametric efficient score functions applicable to data with various shapes of errors. First, I derive semiparametric efficient score vectors for a…
We develop two new estimators for a general class of stationary GARCH models with possibly heavy tailed asymmetrically distributed errors, covering processes with symmetric and asymmetric feedback like GARCH, Asymmetric GARCH, VGARCH and…
During the last decades there has been increasing interest in modeling the volatility of financial data. Several parametric models have been proposed to this aim, starting from ARCH, GARCH and their variants, but often it is hard to…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
Recently, Verma et al. (2025) introduced a novel generalized class of Kavya-Manoharan distributions, which have demonstrated significant utility in reliability analysis and the modeling of lifetime data. This paper proposes an extension of…
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo…
Designing dynamic portfolio insurance strategies under market conditions switching between two or more regimes is a challenging task in financial economics. Recently, a promising approach employing the value-at-risk (VaR) measure to assign…
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss…
In the present paper, using a replica analysis, we examine the portfolio optimization problem handled in previous work and discuss the minimization of investment risk under constraints of budget and expected return for the case that the…
A method for an evaluation of the error between an unknown parameter and its estimator is developed. Its application enables us to preserve the asymptotic power of a constructed test. Testing problems in AR(1) and ARCH models are studied…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric…