Related papers: Risk measures and Margining control
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast to the standard multi-asset Black-Scholes framework, trading…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
It was found in the paper that the time frames of the studied system operation depend on the research objective. In cases when it comes to problems, related to the physical movement of the input and output products, limits of the study are…
This systematic literature review analyzes the current state of compliance with Regulation (EU) 2024/1689 in autonomous robotic systems, focusing on cybersecurity frameworks and methodologies. Using the PRISMA protocol, 22 studies were…
This paper surveys the area of Trust Metrics related to security for autonomous robotic systems. As the robotics industry undergoes a transformation from programmed, task oriented, systems to Artificial Intelligence-enabled learning, these…
In modern internet-scale computing, interaction between a large number of parties that are not known a-priori is predominant, with each party functioning both as a provider and consumer of services and information. In such an environment,…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
This paper provides a bound on the number of numeric operations (fixed or floating point) that can safely be performed before accuracy is lost. This work has important implications for control systems with safety-critical software, as these…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and…
A potential objective of every financial organization is to retain existing customers and attain new prospective customers for long-term. The economic behaviour of customer and the nature of the organization are controlled by a prescribed…
The monograph summarizes and analyzes the current state of development of computer and mathematical simulation and modeling, the automation of management processes, the use of information technologies in education, the design of information…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks and stresses. Since changes in network structure imply…
The paper examines in the context of financial reporting, the controls that organisations have in place to manage spreadsheet risk and errors. There has been widespread research conducted in this area, both in Ireland and internationally.…
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the…
The recent explosion in the amount and dimensionality of data has exacerbated the need of trading off computational and statistical efficiency carefully, so that inference is both tractable and meaningful. We propose a framework that…
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…