Related papers: Risk measures and Margining control
Modern engineering systems include many components of different types and functions. Verifying that these systems satisfy given specifications can be an arduous task, as most formal verification methods are limited to systems of moderate…
Research management applications (RMA) are widely used in clinical research environments to collect, transmit, analyze, and store sensitive data. This data is so valuable making RMAs susceptible to security threats. This analysis, analyzes…
Internet of Things (IoT) is a network of devices that communicate with each other through the internet and provides intelligence to industry and people. These devices are running in potentially hostile environments, so the need for security…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
This work explores the formation and propagation of systemic risks across traditional finance (TradFi) and decentralized finance (DeFi), offering a comparative framework that bridges these two increasingly interconnected ecosystems. We…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In contrast to previous research in this area, we apply…
This paper deals with fractional-order controlled systems and fractional-order controllers in the discrete domain. The mathematical description by the fractional difference equations and properties of these systems are presented. A…
In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can observe at least the asset prices. We characterize the…
This paper, framed in a vast investigation, describes the application of techniques and methodologies in Organizational Engineering connected to the associated risk to the processes developed in an Emergency Service of an important…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
In this paper, to determine the financial risks faced by an industrial company, assessing the relative importance of these risks and identifying the years most exposed to financial risk using modern multi-criteria decision-making…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
We discretize a risk-neutral optimal control problem governed by a linear elliptic partial differential equation with random inputs using a Monte Carlo sample-based approximation and a finite element discretization, yielding finite…
Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always risk-neutral. However, this funding curve is the output from a…
In recent years, many cyber incidents have occurred in the maritime sector, targeting the information technology (IT) and operational technology (OT) infrastructure. One of the key approaches for handling cyber incidents is cyber security…
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time…