Related papers: Elicitability and Identifiability of Systemic Risk…

We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…

Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable…

Inherent risk scoring is an important function in anti-money laundering, used for determining the riskiness of an individual during onboarding $\textit{before}$ fraudulent transactions occur. It is, however, often fraught with two…

In the face of uncertainty, the need for probabilistic assessments has long been recognized in the literature on forecasting. In classification, however, comparative evaluation of classifiers often focuses on predictions specifying a single…

This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the…

Calibrating blackbox machine learning models to achieve risk control is crucial to ensure reliable decision-making. A rich line of literature has been studying how to calibrate a model so that its predictions satisfy explicit finite-sample…

The relative performance of competing point forecasts is usually measured in terms of loss or scoring functions. It is widely accepted that these scoring function should be strictly consistent in the sense that the expected score is…

Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measure. This measure is typically assumed fixed. Here, we adopt…

We establish a profound connection between coherent risk measures, a prominent object in quantitative finance, and uniform integrability, a fundamental concept in probability theory. Instead of working with absolute values of random…

In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…

The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…

Scoring functions are commonly used to evaluate a point forecast of a particular statistical functional. This scoring function should be consistent, meaning the correct value of the functional is the Bayes act, in which case we say the…

The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…

In this paper, we study properties of certain risk measures associated with acceptance sets. These sets describe regulatory preconditions that have to be fulfilled by financial institutions to pass a given acceptance test. If the financial…

This paper addresses the problem of risk-aware fixed-time stabilization of a class of uncertain, output-feedback nonlinear systems modeled via stochastic differential equations. First, novel classes of certificate functions, namely…

We consider different types of predictive intervals and ask whether they are elicitable, i.e. are unique minimizers of a loss or scoring function in expectation. The equal-tailed interval is elicitable, with a rich class of suitable loss…

In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures. Motivated by the results of scalar monetary and star-shaped risk measures, this paper investigates the representation theorems…

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…

A scoring system is a simple decision model that checks a set of features, adds a certain number of points to a total score for each feature that is satisfied, and finally makes a decision by comparing the total score to a threshold.…

In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…