Related papers: Risk measures and Margining control
In several applications such as clinical trials and financial portfolio optimization, the expected value (or the average reward) does not satisfactorily capture the merits of a drug or a portfolio. In such applications, risk plays a crucial…
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…
To maintain quality in hospital services, management strategies are fundamental. The objective of this article was to elaborate and validate the contents of an instrument for the management of hospital radiological protection. Therefore, a…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
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…
We propose the Riskman ontology and shapes for representing and analysing information about risk management for medical devices. Risk management is concerned with taking necessary precautions to ensure that a medical device does not cause…
Owing to recorded incidents of Information technology inclined organisations failing to respond effectively to threat incidents, this project outlines the benefits of conducting a comprehensive risk assessment which would aid proficiency in…
We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated…
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
This research was conducted to find out the level of information security in an organization to give recommendations improvements in information security management at the organization. This research uses the ISO 27002 by involving the…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between…
Technical Debt (TD) refers to non-optimal decisions made in software projects that may lead to short-term benefits, but potentially harm the system's maintenance in the long-term. Technical debt management (TDM) refers to a set of…
Information security management aims at ensuring proper protection of information values and information processing systems (i.e. assets). Information security risk management techniques are incorporated to deal with threats and…
Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson [120] because of its ability to account for fluctuations about the mean, its connection with $H_\infty$ control, and its application to…
Nowadays, systematic security risk analysis plays a vital role in the automotive domain. The demand for advanced driver assistance systems and connectivity of vehicles to the internet makes cyber-security a crucial requirement for vehicle…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
What if the main data protection vulnerability is risk management? Data Protection merges three disciplines: data protection law, information security, and risk management. Nonetheless, very little research has been made on the field of…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes…