Related papers: The VAR at Risk
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
I revisit the standard moral-hazard model, in which an agent's preference over contracts is rooted in costly effort choice. I characterise the behavioural content of the model in terms of empirically testable axioms, and show that the…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
We analyze cooperative Cournot games with boundedly rational firms. Due to cogni- tive constraints, the members of a coalition cannot accurately predict the coalitional structure of the non-members. Thus, they compute their value using…
Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable…
This paper introduces the notions of stability, ultimate boundedness, and positive invariance for stochastic systems in the view of risk. More specifically, those notions are defined in terms of the worst-case Conditional Value-at-Risk…
Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider…
We investigate the dynamics of a trust game on a mixed population where individuals with the role of buyers are forced to play against a predetermined number of sellers, whom they choose dynamically. Agents with the role of sellers are also…
The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions. This is of…
We develop a framework to assess the risk of cascading failures when a team of agents aims to rendezvous in time in the presence of exogenous noise and communication time-delay. The notion of value-at-risk (VaR) measure is used to evaluate…
With the introduction of Artificial Intelligence (AI) and related technologies in our daily lives, fear and anxiety about their misuse as well as the hidden biases in their creation have led to a demand for regulation to address such…
Enforcing safety in the presence of stochastic uncertainty is a challenging problem. Traditionally, researchers have proposed safety in the statistical mean as a safety measure in this case. However, ensuring safety in the statistical mean…
Value-at-risk (VaR) is an established measure to assess risks in critical real-world applications with random environmental factors. This paper presents a novel VaR upper confidence bound (V-UCB) algorithm for maximizing the VaR of a…
We study continuity properties of stochastic game problems with respect to various topologies on information structures, defined as probability measures characterizing a game. We will establish continuity properties of the value function…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
We investigate a randomization procedure undertaken in real option games which can serve as a basic model of regulation in a duopoly model of preemptive investment. We recall the rigorous framework of [M. Grasselli, V. Lecl\`ere and M.…
This paper examines the challenge of embedding public values into national artificial intelligence (AI) governance frameworks, a task complicated by the sociotechnical nature of contemporary systems. As AI permeates domains such as…
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents' risk preferences are modelled by convex…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…