Related papers: Conditional Value at Risk and Partial Moments for …
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
In this paper we explore the functional correlation approach to operational risk. We consider networks with heterogeneous a-priori conditional and unconditional failure probability. In the limit of sparse connectivity, self-consistent…
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to…
Inference for causal effects can benefit from the availability of an instrumental variable (IV) which, by definition, is associated with the given exposure, but not with the outcome of interest other than through a causal exposure effect.…
This paper is devoted to a fractional generalization of the Dirichlet distribution. The form of the multivariate distribution is derived assuming that the $n$ partitions of the interval $[0,W_n]$ are independent and identically distributed…
In this paper we investigate the applicability of a recently introduced primal-dual splitting method in the context of solving portfolio optimization problems which assume the minimization of risk measures associated to different convex…
The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures. This paper includes eight sections. Section 1 is a longer introduction, which gives a…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
We present a new method for the approximate solution of the strongly coupled, nonlinear stress-diffusion problem that appears when modeling hydrogen transport in metals. The most salient feature of the proposed approximation is that it is…
The study of long-horizon returns has received a great deal of attention in recent years (see, for example, Boudoukh, Richardson, and Whitelaw (2008), Neuberger (2012) and Lee (2013), Fama and French (2018)). While most of the discussions…
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
Generalization methods offer a powerful solution to one of the key drawbacks of randomized controlled trials (RCTs): their limited representativeness. By enabling the transport of treatment effect estimates to target populations subject to…
We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying…
The classical approach to multivariate extreme value modelling assumes that the joint distribution belongs to a multivariate domain of attraction. This requires each marginal distribution be individually attracted to a univariate extreme…
This paper introduces a new extension of the Conditional Autoregressive Value at Risk (CAViaR) model aimed at improving tail risk forecasting across assets. The proposed component-based model, CAViaR with Spillover Effects (CAViaR-SE),…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater than a convex linear combination with…
To provide a solid analytic foundation for the module approach to conditional risk measures, this paper establishes a complete random convex analysis over random locally convex modules by simultaneously considering the two kinds of…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…