Related papers: Parameter uncertainty for integrated risk capital …
In this article, we address the problem of risk assessment of stealthy attacks on uncertain control systems. Considering data injection attacks that aim at maximizing impact while remaining undetected, we use the recently proposed…
This paper addresses allocation methodologies for a risk measure inherited from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR) measure defined as the smallest initial capital needed to ensure that the ultimate ruin…
We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a…
Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from actuarial mathematics. Knowing the loss distribution, it is…
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is solved by using the method of uncertain…
Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficulties caused by rare-event simulations. In this study, we…
Traditional multi-armed bandit (MAB) formulations usually make certain assumptions about the underlying arms' distributions, such as bounds on the support or their tail behaviour. Moreover, such parametric information is usually 'baked'…
Practitioners making decisions based on causal effects typically ignore structural uncertainty. We analyze when this uncertainty is consequential enough to warrant methodological solutions (Bayesian model averaging over competing causal…
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…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their relation to each other leads to the question when a certain…
The Solvency II Directive and Solvency Assessment and Management (the South African equivalent) give a Solvency Capital Requirement which is based on a 99.5% Value-at-Risk (VaR) calculation. This calculation involves aggregating individual…
Estimating the parameters of max-stable parametric models poses significant challenges, particularly when some parameters lie on the boundary of the parameter space. This situation arises when a subset of variables exhibits extreme values…
We consider the problem of deciding on sampling strategy, in particular sampling design. We propose a risk measure, whose minimizing value guides the choice. The method makes use of a superpopulation model and takes into account uncertainty…
Applying a machine learning model for decision-making in the real world requires to distinguish what the model knows from what it does not. A critical factor in assessing the knowledge of a model is to quantify its predictive uncertainty.…
In order to understand underlying processes governing environmental and physical processes, and predict future outcomes, a complex computer model is frequently required to simulate these dynamics. However there is inevitably uncertainty…
A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda VaR appears attractive for its potential ability to solve…
This paper firstly addresses the problem of risk assessment under false data injection attacks on uncertain control systems. We consider an adversary with complete system knowledge, injecting stealthy false data into an uncertain control…
In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…
In this paper, a new way to integrate volatility information for estimating value at risk (VaR) and conditional value at risk (CVaR) of a portfolio is suggested. The new method is developed from the perspective of Bayesian statistics and it…