Related papers: Risk measures and Margining control
As part of the Internet of Things, industrial devices are now also connected to cloud services. However, the connection to the Internet increases the risks for Industrial Control Systems. Therefore, a threat analysis is essential for these…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
The aim of these lectures at MITACS-PIMS-UBC Summer School in Risk Man- agement and Risk Sharing is to discuss risk controlled approaches for the pricing and hedging of financial risks. We will start with the classical dual approach for…
Using real-world study data usually requires contractual agreements where research results may only be published in anonymized form. Requiring formal privacy guarantees, such as differential privacy, could be helpful for data-driven…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial markets has increased significantly. This underscores the…
Motivated by the fragility of neural network (NN) controllers in safety-critical applications, we present a data-driven framework for verifying the risk of stochastic dynamical systems with NN controllers. Given a stochastic control system,…
This article is focused on the economic impact assessment of Internet of Things (IoT) and its associated cyber risks vectors and vertices - a reinterpretation of IoT verticals. We adapt to IoT both the Cyber Value at Risk model, a…
In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of negative return under the condition that collaterals are…
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive…
This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier and Acharya et al. have suggested as measures of systemic risk to be attached to individual banks. The statistics…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
We assume that autonomous or highly automated driving (AD) will be accompanied by tough assurance obligations exceeding the requirements of even recent revisions of ISO 26262 or SOTIF. Hence, automotive control and safety engineers have to…
Automated Market Makers (AMMs) are a class of smart contracts on Ethereum and other blockchains that "make markets" autonomously. In other words, AMMs stand ready to trade with other market participants that interact with them, at the…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we…
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key related theoretical aspects, with a particular focus on the…
Context: Technical Debt requirements are related to the distance between the ideal value of the specification and the system's actual implementation, which are consequences of strategic decisions for immediate gains, or unintended changes…
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the…
Stablecoins have turned out to be the "killer" use case of the growing digital asset space. However, risk management frameworks, including regulatory ones, have been largely absent. In this paper, we address the critical question of…