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We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contains derivatives instruments. In this paper, we postpone to estimate…
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features. A predictive modeling process is…
We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when the risk measure is CVaR, and the distributions are…
Financial inclusion depends on providing adjusted services for citizens with disclosed vulnerabilities. At the same time, the financial industry needs to adhere to a strict regulatory framework, which is often in conflict with the desire…
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo…
The Kelly criterion provides a general framework for optimizing the growth rate of an investment portfolio over time by maximizing the expected logarithmic utility of wealth. However, the optimality condition of the Kelly criterion is…
Each individual investor is different, with different financial goals, different levels of risk tolerance and different personal preferences. From the point of view of investment management, these characteristics are often defined as…
Retention campaigns in customer relationship management often rely on churn prediction models evaluated using traditional metrics such as AUC and F1-score. However, these metrics fail to reflect financial outcomes and may mislead strategic…
LLMs are increasingly used to make or support high-stakes decisions under uncertainty, where alignment depends not only on factual accuracy but on how models weigh tradeoffs between different outcomes. We present an empirical pipeline for…
A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one…
Purpose: Health recommenders act as important decision support systems, aiding patients and medical professionals in taking actions that lead to patients' well-being. These systems extract the information which may be of particular…
The key concepts (calibration, discrimination, and discordance) important in understanding and comparing risk models are best conveyed graphically. To illustrate this, models predicting death and acute kidney injury in a large cohort of PCI…
In this research, we propose a novel approach for the quantification of credit portfolio Value-at-Risk (VaR) sensitivity to asset correlations with the use of synthetic financial correlation matrices generated with deep learning models. In…
In the federated learning system, parameter gradients are shared among participants and the central modulator, while the original data never leave their protected source domain. However, the gradient itself might carry enough information…
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model. It has an axiomatic foundation and can be defined through a parametric class of risk measures. Since the…
To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference…
(U.S) Rule-based policies to mitigate software risk suggest to use the CVSS score to measure the individual vulnerability risk and act accordingly: an HIGH CVSS score according to the NVD (National (U.S.) Vulnerability Database) is…