Related papers: Conditional Systemic Risk Measures
For nonlinear discrete time systems satisfying a controllability condition, we present a stability condition for model predictive control without stabilizing terminal constraints or costs. The condition is given in terms of an analytical…
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the…
We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework to efficiently compute the most popular risk measures, Value-at-Risk and Expected Shortfall (also known as…
There has been a long-standing and at times fractious debate whether complex and large systems can be stable. In ecology, the so-called `diversity-stability debate' arose because mathematical analyses of ecosystem stability were either…
This paper investigates the use of risk measures and theories of choice for modeling risk-averse route choice and traffic network equilibrium with random travel times. We interpret the postulates of these theories in the context of routing,…
We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the…
We define the empiric stochastic stability of an invariant measure in the finite-time scenario, the classical definition of stochastic stability. We prove that an invariant measure of a continuous system is empirically stochastically stable…
This work deals with the stability analysis of nonlinear sampled-data systems under nonuniform sampling. It establishes novel relationships between the stability property of the exact discrete-time model for a given sequence of (aperiodic)…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
We develop a novel continuous-time asymptotic framework for inference on whether the predictive ability of a given forecast model remains stable over time. We formally define forecast instability from the economic forecaster's perspective…
In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The proposed framework not only integrates existing forms of…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of…
Providing finite-time probabilistic safety and reach-avoid guarantees is crucial for safety-critical stochastic systems. Existing state-of-the-art barrier methods often rely on a restrictive boundedness assumption for auxiliary functions,…
Much work aims to explain a model's prediction on a static input. We consider explanations in a temporal setting where a stateful dynamical model produces a sequence of risk estimates given an input at each time step. When the estimated…
Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…