Related papers: Fair Estimation of Capital Risk Allocation
It is now well understood that machine learning models, trained on data without due care, often exhibit unfair and discriminatory behavior against certain populations. Traditional algorithmic fairness research has mainly focused on…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
The fair allocation of indivisible resources is a fundamental problem. Existing research has developed various allocation mechanisms or algorithms to satisfy different fairness notions. For example, round robin (RR) was proposed to meet the…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
In recent years, machine learning models have achieved great success at the expense of highly complex black-box structures. By using axiomatic attribution methods, we can fairly allocate the contributions of each feature, thus allowing us…
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss…
Training and deploying machine learning models that meet fairness criteria for protected groups are fundamental in modern artificial intelligence. While numerous constraints and regularization terms have been proposed in the literature to…
Fair resource allocation is an important problem in many real-world scenarios, where resources such as goods and chores must be allocated among agents. In this survey, we delve into the intricacies of fair allocation, focusing specifically…
Portfolio optimization has long been dominated by covariance-based strategies, such as the Markowitz Mean-Variance framework. However, these approaches often fail to ensure a balanced risk structure across assets, leading to concentration…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
Finance is one of the promising field for industrial application of quantum computing. In particular, quantum algorithms for calculation of risk measures such as the value at risk and the conditional value at risk of a credit portfolio have…
We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption…
Randomized trials balance all covariates on average and provide the gold standard for estimating treatment effects. Chance imbalances nevertheless exist more or less in realized treatment allocations and intrigue an important question: what…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperative game theory and systemic risk. Although static capital…
We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an…
In today's digital world, interaction with online platforms is ubiquitous, and thus content moderation is important for protecting users from content that do not comply with pre-established community guidelines. Having a robust content…