Related papers: Mathematical Analysis of Dynamic Risk Default in M…
The present work addresses the challenge of training neural networks for Dynamic Initial Margin (DIM) computation in counterparty credit risk, a task traditionally burdened by the high costs associated with generating training datasets…
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…
Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the rating transition matrices, which relates the rating…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
We study a nonlinear system of partial differential equations arising in macroeconomics which utilizes a mean field approximation. This system together with the corresponding data, subject to two moment constraints, is a model for debt and…
This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
In this paper, we focus on formal synthesis of control policies for finite Markov decision processes with non-negative real-valued costs. We develop an algorithm to automatically generate a policy that guarantees the satisfaction of a…
Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, risk functionals constitute a fundamental building block in…
For some estimations and predictions, we solve minimization problems with asymmetric loss functions. Usually, we estimate the coefficient of regression for these problems. In this paper, we do not make such the estimation, but rather give a…
We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows…
Managing the transactions in real time distributed computing system is not easy, as it has heterogeneously networked computers to solve a single problem. If a transaction runs across some different sites, it may commit at some sites and may…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
The large variety of digital payment choices available to consumers today has been a key driver of e-commerce transactions in the past decade. Unfortunately, this has also given rise to cybercriminals and fraudsters who are constantly…
Model predictive control is a prominent approach to construct a feedback control loop for dynamical systems. Due to real-time constraints, the major challenge in MPC is to solve model-based optimal control problems in a very short amount of…
We develop a cutting-plane methodology that adjusts solutions to optimization problems so as to reduce features that bring about exposure to risk, such as concentration of assets or resources. The methodology is agnostic to the…
We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking error. The formulation overcomes the limitations of existing…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived…