Related papers: FRM Financial Risk Meter for Emerging Markets
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile…
We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk constraint. The strategy assumes that the offshore assets are…
Futures are contracts obligating the exchange of an asset at a predetermined date and price, notable for their high leverage and liquidity and, therefore, thrive in the Crypto market. RL has been widely applied in various quantitative…
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
We derive a factor graph EM (FGEM) algorithm, a technique that permits combined parameter estimation and statistical inference, to determine hidden kinetic microstates from patch clamp measurements. Using the cystic fibrosis transmembrane…
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate…
Financial markets alternate between tranquil periods and episodes of stress, and return dynamics can change substantially across these regimes. We study regime-dependent dynamics in developed and developing equity indices using a…
Automated Market Makers (AMMs) hold assets and are constantly being rebalanced by external arbitrageurs to match external market prices. Loss-versus-rebalancing (LVR) is a pivotal metric for measuring how an AMM pool performs for its…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk measures such as Value-at-Risk (VaR) and Expected Shortfall…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Multiplicative Error Model (AJM), which accounts for a…
In the face of global economic uncertainty, financial auditing has become essential for regulatory compliance and risk mitigation. Traditional manual auditing methods are increasingly limited by large data volumes, complex business…
This paper presents a systematic verification and validation (V\&V) framework for the Evasive Minimum Risk Maneuver (EMRM) feature in autonomous vehicles, addressing a critical gap in existing safety assessment methods. We introduce the…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
In contrast to the popular Cox model which presents a multiplicative covariate effect specification on the time to event hazards, the semiparametric additive risks model (ARM) offers an attractive additive specification, allowing for direct…