Related papers: ESG, Risk, and (Tail) Dependence
As the increasing application of AI in finance, this paper will leverage AI algorithms to examine tail risk and develop a model to alter tail risk to promote the stability of US financial markets, and enhance the resilience of the US…
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…
Open source software ecosystems consist of thousands of interdependent libraries, which users can combine to great effect. Recent work has pointed out two kinds of risks in these systems: that technical problems like bugs and…
Modelling multivariate tail dependence is one of the key challenges in extreme-value theory. Multivariate extremes are usually characterized using parametric models, some of which have simpler submodels at the boundary of their parameter…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…
In order to optimize the usage of testing efforts and to assess risks of software-based systems, risk-based testing uses risk (re-)assessments to steer all phases in a test process. Several risk-based testing approaches have been proposed…
This study examines the interdependence between cryptocurrencies and international financial indices, such as MSCI World and MSCI Emerging Markets. We compute the value at risk, expected shortfall (ES), and range value at risk (RVaR) and…
Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss…
ESG-aware portfolio optimization is increasingly important for sustainable capital allocation, yet most learning-based methods still operationalize ESG by appending static scores to the policy observation or reward. This creates a mismatch…
We study the consistency and weak convergence of the conditional tail function and conditional Hill estimators under broad dependence assumptions for a heavy-tailed response sequence and a covariate sequence. Consistency is established…
Although companies are exhorted to provide more information to the financial community, it is evident that they choose different paths based upon their strategic emphasis and competitive environments. Our investigation explores the…
Sustainability reports are key for evaluating companies' environmental, social and governance, ESG performance, but their content is increasingly obscured by greenwashing - sustainability claims that are misleading, exaggerated, and…
Sustainability or ESG rating agencies use company disclosures and external data to produce scores or ratings that assess the environmental, social, and governance performance of a company. However, sustainability ratings across agencies for…
Determining the causes of extreme events is a fundamental question in many scientific fields. An important aspect when modelling multivariate extremes is the tail dependence. In application, the extreme dependence structure may…
The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…