Related papers: Risk contagion under regular variation and asympto…
Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to…
Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is needed. In this paper, a model is suggested built on a…
This paper addresses the critical challenge of estimating the reliability of an Electric Vehicle (EV) charging systems when facing risks such as overheating, unpredictable, weather, and cyberattacks. Traditional methods for predicting…
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of bivariate tail dependence since it evaluates the underlying copula only along the diagonal. To address this limitation, several measures of…
Determining the causes of extreme events is a fundamental question in many scientific fields. An important aspect when modelling multivariate extremes is the tail dependence. In application, the extreme dependence structure may…
Most extreme events in real life can be faithfully modeled as random realizations from a Generalized Pareto distribution, which depends on two parameters: the scale and the shape. In many actual situations, one is mostly concerned with the…
This paper examines the dependence of network performance measures on network size and considers scaling results for large networks. We connect two performance measures that are well studied, but appear to be unrelated. The first measure is…
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…
Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…
Impact assessment of natural hazards requires the consideration of both extreme and non-extreme events. Extensive research has been conducted on the joint modeling of bulk and tail in univariate settings; however, the corresponding body of…
We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each…
Can contagion be inferred from aggregated default data? We study this as a problem of identifiability, asking whether contagion generates components in default count distributions that remain distinct from those induced by macroeconomic…
We propose two types of Quantile Graphical Models (QGMs) --- Conditional Independence Quantile Graphical Models (CIQGMs) and Prediction Quantile Graphical Models (PQGMs). CIQGMs characterize the conditional independence of distributions by…
The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…
In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes $X=(X(s))\_{s\in\bR^2}$ and the damage function $\cD\_X^{\nu}= |X|^\nu$ with $0<\nu<1/2$. We study the quantitative behavior of a…
We present a model of contagion that unifies and generalizes existing models of the spread of social influences and micro-organismal infections. Our model incorporates individual memory of exposure to a contagious entity (e.g., a rumor or…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…