Related papers: Quantum Implementation of Risk Analysis-relevant C…

Implicit copulas are the most common copula choice for modeling dependence in high dimensions. This broad class of copulas is introduced and surveyed, including elliptical copulas, skew $t$ copulas, factor copulas, time series copulas and…

Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable…

Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows introducing the skew information of both…

For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of…

We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via…

Threat modeling has emerged as a key process for understanding relevant threats within businesses. However, understanding the importance of threat events is rarely driven by the business incorporating the system. Furthermore, prioritization…

Portfolio construction has been a long-standing topic of research in finance. The computational complexity and the time taken both increase rapidly with the number of investments in the portfolio. It becomes difficult, even impossible for…

Language models are increasingly capable and are being rapidly deployed on a population-level scale. As a result, the safety of these models is increasingly high-stakes. Fortunately, advances in alignment have significantly reduced the…

Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a…

Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. We are the first to study whether Quantum Monte Carlo (QMC) algorithm can improve the runtime of economic applications and…

Copulas are now frequently used to construct or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the different variables while separately specifying marginal distributions.…

We define in a probabilistic way a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and total independent copulas, and the bivariate tail…

A new index based on empirical copulas, termed the Copula Statistic (CoS), is introduced for assessing the strength of multivariate dependence and for testing statistical independence. New properties of the copulas are proved. They allow us…

Analysis and verification of quantum circuits are highly challenging, given the exponential dependence of the number of states on the number of qubits. For analytical derivation, we propose a new quantum polynomial representation (QPR) to…

Monte Carlo integration using quantum computers has been widely investigated, including applications to concrete problems. It is known that quantum algorithms based on quantum amplitude estimation (QAE) can compute an integral with a…

In this article, a copula-based method for mixed regression models is proposed, where the conditional distribution of the response variable, given covariates, is modelled by a parametric family of continuous or discrete distributions, and…

Conditional Value-at-Risk (CVaR) is a leading tail-risk measure in finance, central to both regulatory and portfolio optimization frameworks. Classical estimation of CVaR and its gradients relies on Monte Carlo simulation, incurring…

In this paper, we analyze the relative errors in various reliability measures due to the tacit assumption that the components associated with a $n$-component series system or a parallel system are independently working where the components…

Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices…

Extreme values and the tail behavior of probability distributions are essential for quantifying and mitigating risk in complex systems of all kinds. In multivariate settings, accounting for correlations is crucial. Although extreme value…