Related papers: Analytical scores for stress scenarios
This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an explicit geopolitical risk factor, is mapped into stressed…
Many in-hospital mortality risk prediction scores dichotomize predictive variables to simplify the score calculation. However, hard thresholding in these additive stepwise scores of the form "add x points if variable v is above/below…
In order to optimize the usage of testing efforts and to assess risks of software-based systems, risk-based testing uses risk (re-)assessments to steer all phases in a test process. Several risk-based testing approaches have been proposed…
We introduce methodology to bridge scenario analysis and model-based risk forecasting, leveraging their respective strengths in policy settings. Our Bayesian framework addresses the fundamental challenge of reconciling judgmental narrative…
Service industries, such as ports, are attentive to their standards, a smooth service flow and economic viability. Cost benefit analysis has proven itself as a useful tool to support this type of decision making; it has been used by…
This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, such as the…
Survival outcomes are common in comparative effectiveness studies and require unique handling because they are usually incompletely observed due to right-censoring. A ``once for all'' approach for causal inference with survival outcomes…
Daily monitoring of stress is a critical component of maintaining optimal physical and mental health. Physiological signals and contextual information have recently emerged as promising indicators for detecting instances of heightened…
Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card accounts to help assess credit risk…
Credit risk assessment is a crucial aspect of financial decision-making, enabling institutions to predict the likelihood of default and make informed lending decisions. Two prominent methodologies in credit risk modeling are logistic…
We consider parametric Markov decision processes (pMDPs) that are augmented with unknown probability distributions over parameter values. The problem is to compute the probability to satisfy a temporal logic specification with any concrete…
Utilizing established risk factors and prognostic models can often improve the construction of a newer risk model that uses novel biomarkers in a smaller, internal study. However, directly borrowing information from an established…
We propose and analyze the application of statistical functional depth metrics for the selection of extreme scenarios in day-ahead grid planning. Our primary motivation is screening of probabilistic scenarios for realized load and renewable…
While acute stress has been shown to have both positive and negative effects on performance, not much is known about the impacts of stress on students grades during examinations. To answer this question, we examined whether a correlation…
The scenario approach is an established data-driven design framework that comes equipped with a powerful theory linking design complexity to generalization properties. In this approach, data are simultaneously used both for design and for…
We demonstrate the use of Adaptive Stress Testing to detect and address potential vulnerabilities in a financial environment. We develop a simplified model for credit card fraud detection that utilizes a linear regression classifier based…
Chance-constrained programs (CCPs) provide a powerful modeling framework for decision-making under uncertainty, but their nonconvex feasible regions make them computationally challenging. A widely used convex inner approximation replaces…
Recent advances in decision-making policies have led to significant progress in fields such as autonomous driving and robotics. However, testing these policies remains crucial with the existence of critical scenarios that may threaten their…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-section of individual stocks. Using CRSP daily data, each month is…