Related papers: Multiple risk factor dependence structures: Distri…

Multi-aspect user preferences are attracting wider attention in recommender systems, as they enable more detailed understanding of users' evaluations of items. Previous studies show that incorporating multi-aspect preferences can greatly…

This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…

A prevalent feature of high-dimensional data is the dependence among covariates, and model selection is known to be challenging when covariates are highly correlated. To perform model selection for the high-dimensional Cox proportional…

Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…

In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…

We propose a distributional framework for benchmarking socio-technical risks of foundation models with quantified statistical significance. Our approach hinges on a new statistical relative testing based on first and second order stochastic…

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…

Abstract algebra provides a large hierarchy of properties that a collection of objects can satisfy, such as forming an abelian group or a semiring. These classifications can arranged into a broad and typically acyclic directed graph. This…

Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to…

Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk. In this paper, we consider the…

A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…

The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…

This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…

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…

A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one…

Understanding the effects of the choice of the tree on the joint distribution of a tree-structured Markov random field (MRF) is crucial for fully exploiting the intelligibility of such probabilistic graphical models. Tools must be developed…

Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…

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…

In this paper, we will show that the recently introduced graphical model: Conditional Random Fields (CRF) provides a template to integrate micro-level information about biological entities into a mathematical model to understand their…