Related papers: Efficient Wrong-Way Risk Modelling for Funding Val…

Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as…

Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are two risk measures which are widely used in the practice of risk management. This paper deals with the problem of computing both VaR and CVaR using stochastic approximation (with…

A default assumption in many machine learning scenarios is that the training and test samples are drawn from the same probability distribution. However, such an assumption is often violated in the real world due to non-stationarity of the…

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…

This paper explores option portfolio optimization when the underlying returns are skew-elliptical t-distributed. We use the variance and value at risk (VaR) to measure portfolio risk. The novelty of our work is the departure from the…

Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the…

The inclusion of DVA in the fair-value of derivative transactions has now become standard accounting practice in most parts of the world. Furthermore, some sophisticated banks are including an FVA (Funding Valuation Adjustment), but since…

The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…

This paper provides a comprehensive error analysis of learning with vector-valued random features (RF). The theory is developed for RF ridge regression in a fully general infinite-dimensional input-output setting, but nonetheless applies to…

Window to Wall Ratios (WWR) are key to assessing the energy, daylight and ventilation performance of buildings. Studies have shown that window area has a large impact on building performance and simulation. However, data to set up these…

We characterize the family of utility functions satisfying linear fractional relative risk aversion (LFRRA) in terms of the Gauss hypergeometric functions. We apply this family, which nests various utility functions used in different…

We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…

This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR). We recast the traditional Euler contributions from an expectation conditional on an…

The use of CVA to cover credit risk is widely spread, but has its limitations. Namely, dealers face the problem of the illiquidity of instruments used for hedging it, hence forced to warehouse credit risk. As a result, dealers tend to offer…

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss…

This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed…

In the financial field, precise risk assessment tools are essential for decision-making. Recent studies have challenged the notion that traditional network loss functions like Mean Square Error (MSE) are adequate, especially under extreme…

This paper addresses the estimation of the systemic risk measure known as CoVaR, which quantifies the risk of a financial portfolio conditional on another portfolio being at risk. We identify two principal challenges: conditioning on a…

Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…

Risk management is an important part of financial practice, essential for protecting assets and investments in modern-day volatile markets. This paper proposes a mixture of mirrored Weibull (MMW) distribution for modelling stock returns and…