Related papers: Dynamic cyber risk estimation with Competitive Qua…
In ordinary quantile regression, quantiles of different order are estimated one at a time. An alternative approach, which is referred to as quantile regression coefficients modeling (QRCM), is to model quantile regression coefficients as…
We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametric approaches, the proposed framework explicitly models the…
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss…
Censored quantile regression (CQR) has become a valuable tool to study the heterogeneous association between a possibly censored outcome and a set of covariates, yet computation and statistical inference for CQR have remained a challenge…
With the advent of vehicles equipped with advanced driver-assistance systems, such as adaptive cruise control (ACC) and other automated driving features, the potential for cyberattacks on these automated vehicles (AVs) has emerged. While…
We develop a predictive inference procedure that combines conformal prediction (CP) with unconditional quantile regression (QR) -- a commonly used tool in econometrics that involves regressing the recentered influence function (RIF) of the…
The ongoing rise in cyberattacks and the lack of skilled professionals in the cybersecurity domain to combat these attacks show the need for automated tools capable of detecting an attack with good performance. Attackers disguise their…
This study presents a methodology to quantify vulnerability of cyber attacks and their impacts based on probabilistic graphical models for intelligent transportation systems under connected and autonomous vehicles framework. Cyber attack…
In the coming years, usage of Unmanned Aerial Vehicles (UAVs) is expected to grow tremendously. Maintaining security of UAVs under cyber attacks is an important yet challenging task, as these attacks are often erratic and difficult to…
Numerous security metrics have been proposed in the past for protecting computer networks. However we still lack effective techniques to accurately measure the predictive security risk of an enterprise taking into account the dynamic…
Along with the widespread adoption of high-dimensional data, traditional statistical methods face significant challenges in handling problems with high correlation of variables, heavy-tailed distribution, and coexistence of sparse and dense…
Daily Value-at-Risk (VaR) for option books requires more than an accurate quantile forecast. It first requires a precise definition of the loss target. Before any model is evaluated, the protocol must fix the book construction rule, the…
In the dynamic cyber threat landscape, effective decision-making under uncertainty is crucial for maintaining robust information security. This paper introduces the Cyber Resilience Index (CRI), a threat-informed probabilistic approach to…
We consider covariate adjusted regression (CAR), a regression method for situations where predictors and response are observed after being distorted by a multiplicative factor. The distorting factors are unknown functions of an observable…
It is known that the estimating equations for quantile regression (QR) can be solved using an EM algorithm in which the M-step is computed via weighted least squares, with weights computed at the E-step as the expectation of independent…
This paper considers variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions and provides three stochastic approximation schemes to solve them. All methods use an empirical estimate of the CVaR…
We study the optimal portfolio allocation problem from a Bayesian perspective using value at risk (VaR) and conditional value at risk (CVaR) as risk measures. By applying the posterior predictive distribution for the future portfolio…
Resilience of safety-critical systems is gaining importance, particularly with the increasing number of cyber and physical threats. Cyber-physical threats are becoming increasingly prevalent, as digital systems are ubiquitous in critical…
Robustness under perturbation and contamination is a prominent issue in statistical learning. We address the robust nonlinear regression based on the so-called interval conditional value-at-risk (In-CVaR), which is introduced to enhance…
Assessing cyber risk in complex IT infrastructures poses significant challenges due to the dynamic, interconnected nature of digital systems. Traditional methods often fall short, relying on static and largely qualitative models that do not…