Related papers: Analytical scores for stress scenarios
To find failure events and their likelihoods in flight-critical systems, we investigate the use of an advanced black-box stress testing approach called adaptive stress testing. We analyze a trajectory predictor from a developmental…
When a strict subset of covariates are given, we propose conditional quantile treatment effect to capture the heterogeneity of treatment effects via the quantile sheet that is the function of the given covariates and quantile. We focus on…
In stochastic optimisation, the large number of scenarios required to faithfully represent the underlying uncertainty is often a barrier to finding efficient numerical solutions. This motivates the scenario reduction problem: by find a…
Leaderboard scores on public benchmarks have been steadily rising and converging, with many frontier language models now separated by only marginal differences. However, these scores often fail to match users' day to day experience, because…
In order to operate safely on the road, autonomous vehicles need not only to be able to identify objects in front of them, but also to be able to estimate the risk level of the object in front of the vehicle automatically. It is obvious…
In this paper, we introduce a novel psychological benchmark, CPsyExam, constructed from questions sourced from Chinese language examinations. CPsyExam is designed to prioritize psychological knowledge and case analysis separately,…
This work discusses an important issue in the area of human resource management by proposing a novel model for creation and evaluation of software teams. The model consists of several assessments, including a technical test, a quality of…
Poisson random effect models with a shared random effect have been widely used in actuarial science for analyzing the number of claims. In particular, the random effect is a key factor in a posteriori risk classification. However, the…
Structured additive distributional regression models offer a versatile framework for estimating complete conditional distributions by relating all parameters of a parametric distribution to covariates. Although these models efficiently…
Stress testing poses a causal question: how would portfolio credit losses change if the macroeconomy followed an adverse counterfactual path? Yet standard practice remains predictive and might be therefore vulnerable to omitted-variable…
We study two different contributions to the theory of (scalar) systemic risk measures. Namely the first aggregate or axiomatic approach and the first inject capital approach. For this purpose we establish a general framework, which is rich…
Generalized method of moments estimators based on higher-order moment conditions derived from independent shocks can be used to identify and estimate the simultaneous interaction in structural vector autoregressions. This study highlights…
Propensity scores are often used for stratification of treatment and control groups of subjects in observational data to remove confounding bias when estimating of causal effect of the treatment on an outcome in so-called potential outcome…
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…
In the context of cluster analysis and graph partitioning, many external evaluation measures have been proposed in the literature to compare two partitions of the same set. This makes the task of selecting the most appropriate measure for a…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
Method comparisons are essential to provide recommendations and guidance for applied researchers, who often have to choose from a plethora of available approaches. While many comparisons exist in the literature, these are often not neutral…
Bank financial performance encapsulates an institution's capacity to effectively manage its assets, capital, and operational activities to generate profits and ensure stability. Evaluating this performance necessitates the integration of…
We present an elementary state augmentation method for a class of static risk measure applied to the total cost for both Markov decision processes and stochastic optimal control, such that dynamic programming equations can be derived on the…
Propensity score methods were proposed by Rosenbaum and Rubin [Biometrika 70 (1983) 41--55] as central tools to help assess the causal effects of interventions. Since their introduction more than two decades ago, they have found wide…