Related papers: Model Spaces for Risk Measures

In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…

We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…

In this paper, we discuss aspects of model risk management in financial institutions which could be adopted by academic institutions to improve the process of conducting academic research, identify and mitigate existing limitations,…

In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation…

Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus…

We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal…

In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital…

Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures.…

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…

Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…

In decision making under uncertainty and risk, worst-case risk assessments are often conducted using maxitive monetary risk measures. In this article, we study maxitive monetary risk measures on the space $L^0$ of all random variables…

We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…

Mixed-effect models are flexible tools for researchers in a myriad of fields, but that flexibility comes at the cost of complexity and if users are not careful in how their model is specified, they could be making faulty inferences from…

We establish a variety of numerical representations of preference relations induced by set-valued risk measures. Because of the general incompleteness of such preferences, we have to deal with multi-utility representations. We look for…

In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We…

We study the robustness of system estimation to parametric perturbations in system dynamics and initial conditions. We define the problem of sensitivity-based parametric uncertainty quantification in dynamical system estimation. The main…

The paper offers a novel unified approach to studying the accuracy of parameter estimation by the quasi likelihood method. Important features of the approach are: (1) The underlying model {is not assumed to be parametric}. (2) No conditions…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

We study risk measures $\varphi:E\longrightarrow\mathbb{R}\cup\{\infty\}$, where $E$ is a vector space of random variables which a priori has no lattice structure$\unicode{x2014}$a blind spot of the existing risk measures literature. In…

We propose a distributional framework for benchmarking socio-technical risks of foundation models with quantified statistical significance. Our approach hinges on a new statistical relative testing based on first and second order stochastic…