Related papers: The VAR at Risk
The objective of this article is to analyze the impact of capital structure on profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency costs theory. A sample of 1846 French…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
We study a non-concave optimization problem in which a financial company maximizes the expected utility of the surplus under a risk-based regulatory constraint. For this problem, we consider four different prevalent risk constraints…
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is…
As artificial intelligence (AI) systems increasingly impact society, the EU Artificial Intelligence Act (AIA) is the first serious legislative attempt to contain the harmful effects of AI systems. This paper proposes a governance framework…
We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability distribution on the price; in…
Conditional value-at-risk (CoVaR) is one of the most important measures of systemic risk. It is defined as the high quantile conditional on a related variable being extreme, widely used in the field of quantitative risk management. In this…
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but its law is unknown to the observer. In addition, while the state process and the controls are…
It is difficult to neutrally evaluate the risks posed by large-scale leading-edge science experiments. Traditional risk assessment is problematic in this context for multiple reasons. Also, such experiments can be insulated from challenge…
This paper investigates the robust {non-zero-sum} games in an aggregated {overfunded} defined benefit (abbr. DB) pension plan. The sponsoring firm is concerned with the investment performance of the fund surplus while the participants act…
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…
We study the impact of regulatory capital constraints on fire sales and financial stability in a large banking system using a mean field game model. In our model banks adjust their holdings of a risky asset via trading strategies with…
Free-riding on a joint venture bears the risk of losing personal endowment as the group may fail to reach the collective target due to insufficient contributions. A collective-risk social dilemma emerges, which we here study in the realm of…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic…
In this paper, we address the much-anticipated deployment of connected and automated vehicles (CAVs) in society by modeling and analyzing the social-mobility dilemma in a game-theoretic approach. We formulate this dilemma as a normal-form…
Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of Neyman-Pearson type binary solution. We…
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…
An important issue in concurrency is interference. This issue manifests itself in both shared-variable and communication-based concurrency --- this paper focusses on the former case where interference is caused by the environment of a…