Related papers: Generating unfavourable VaR scenarios with patchwo…
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the…
A problem that is frequently encountered in a variety of mathematical contexts, is to find the common invariant subspaces of a single, or set of matrices. A new method is proposed that gives a definitive answer to this problem. The key idea…
Vector autoregressive (VAR) models have become a staple in the analysis of multivariate time series and are formulated in the time domain as difference equations, with an implied covariance structure. In many contexts, it is desirable to…
We propose a variant of the Shapley value, the group Shapley value, to interpret counterfactual simulations in structural economic models by quantifying the importance of different components. Our framework compares two sets of parameters,…
A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The one-to-one relationship between a positive definite…
We address imbalanced classification, the problem in which a label may have low marginal probability relative to other labels, by weighting losses according to the correct class. First, we examine the convergence rates of the expected…
We consider the problem of modeling the dependence among many time series. We build high dimensional time-varying copula models by combining pair-copula constructions (PCC) with stochastic autoregressive copula (SCAR) models to capture…
We focus on the time-varying modeling of VaR at a given coverage $\tau$, assessing whether the quantiles of the distribution of the returns standardized by their conditional means and standard deviations exhibit predictable dynamics. Models…
Structural Health Monitoring of Floating Offshore Wind Turbines (FOWTs) is critical for ensuring operational safety and efficiency. However, identifying damage in components like mooring systems from limited sensor data poses a challenging…
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…
Practitioners making decisions based on causal effects typically ignore structural uncertainty. We analyze when this uncertainty is consequential enough to warrant methodological solutions (Bayesian model averaging over competing causal…
In this paper, we study the identifiability and the estimation of the parameters of a copula-based multivariate model when the margins are unknown and are arbitrary, meaning that they can be continuous, discrete, or mixtures of continuous…
This thesis presents the Conditional Value-at-Risk concept and combines an analysis that covers its application as a risk measure and as a vector norm. For both areas of application the theory is revised in detail and examples are given to…
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
Vine copulas (or pair-copula constructions) have become an important tool for high-dimensional dependence modeling. Typically, so called simplified vine copula models are estimated where bivariate conditional copulas are approximated by…
The bivariate copulas that describe the dependencies and partial dependencies of lagged variables in strictly stationary, first-order GARCH-type processes are investigated. It is shown that the copulas of symmetric GARCH processes are…
We propose a new model selection criterion for mixed effects regression models that is computable when the model is fitted with a two-step method, even when the structure and the distribution of the random effects are unknown. The criterion…
Many risk-sensitive applications require well-calibrated prediction sets over multiple, potentially correlated target variables, for which the prediction algorithm may report correlated errors. In this work, we aim to construct the…
In this study, we address the challenge of portfolio optimization, a critical aspect of managing investment risks and maximizing returns. The mean-CVaR portfolio is considered a promising method due to today's unstable financial market…
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the…