Related papers: Risk measures and Margining control
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
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…
This paper proposes a novel continuous-time dynamic contract framework that has a risk-limiting capability. If a principal and an agent enter into such a contract, the principal can optimally manage its performance and risk with a guarantee…
In the framework of Embedded Value new standards, namely the MCEV norms, the latest principles published in June 2008 address the issue of market and underwriting risks measurement by using stochastic models of projection and valorization.…
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and…
Explicit finite-sample statistical guarantees on model performance are an important ingredient in responsible machine learning. Previous work has focused mainly on bounding either the expected loss of a predictor or the probability that an…
Safety and efficacy are the paramount objectives of medical device regulation. And in line with the medical ethos of non-maleficence, first do no harm, safety is the primary goal of regulation also. As such, risk management is the…
This paper is concerned with a simulation study for a stochastic production network model, where the capacities of machines may change randomly. We introduce performance measures motivated by risk measures from finance leading to a…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
The Internet plays a key role in society and is vital to economic development. Due to the pressure of competition, most technology companies, including Internet finance companies, continue to explore new markets and new business. Funding…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Automatic differentiation is involved for long in applied mathematics as an alternative to finite difference to improve the accuracy of numerical computation of derivatives. Each time a numerical minimization is involved, automatic…
An interesting analog circuit for simulating a signal with fluctuations having a probability density function with a power tail has recently been proposed and constructed. The exponent of the power law can be fixed by tuning an appropriate…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
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…
Technical Debt is a term begat by Ward Cunningham to signify the measure of adjust required to put a software into that state which it ought to have had from the earliest starting point. Often organizations need to support continuous and…
This special issue is a product of the First Interdisciplinary Symposium on Statistical Challenges and Opportunities in Electronic Commerce Research, which took place on May 22--23, 2005, at the Robert H. Smith School of Business,…
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years, the second is about the correlation between the…
We propose an computational framework for real-time risk assessment and prioritizing for random outcomes without prior information on probability distributions. The basic model is built based on satisficing measure (SM) which yields a…