Related papers: On evaluation of joint risk for non-negative multi…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
The paper develops a novel and general methodology to characterize the nonlinearity of structural systems and to provide a mathematically proven basis for applying partial safety factors to nonlinear structural systems. It establishes, for…
In economics, risk aversion is modeled via a concave Bernoulli utility within the expected-utility paradigm. We propose a simple test of expected utility and concavity. We find little support for either: only 30 percent of the choices are…
We study the closure properties of the class of Bivariate Regular Variation, symbolically BRV , in standard and nonstandard cases, with respect to the randomly weighted sums. However, we take into consideration a weak dependence structure…
This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…
Given measurements from sensors and a set of standard forces, an optimization based approach to identify weakness in structures is introduced. The key novelty lies in letting the load and measurements to be random variables. Subsequently…
Prior to clinical applications, it is critical that risk prediction models are evaluated in independent studies that did not contribute to model development. While prospective cohort studies provide a natural setting for model validation,…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
In longitudinal studies, time-varying covariates are often endogenous, meaning their values depend on both their own history and that of the outcome variable. This violates key assumptions of Generalized Linear Mixed Effects Models (GLMMs),…
We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We…
Missing data and noisy observations pose significant challenges for reliably predicting events from irregularly sampled multivariate time series (longitudinal) data. Imputation methods, which are typically used for completing the data prior…
We propose a test of independence of two multivariate random vectors, given a sample from the underlying population. Our approach, which we call MINT, is based on the estimation of mutual information, whose decomposition into joint and…
Testing the independence between random vectors is a fundamental problem in statistics. Distance correlation, a recently popular dependence measure, is universally consistent for testing independence against all distributions with finite…
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…
Applied researchers often claim that the risk difference is more heterogeneous than the relative risk and the odds ratio. Some also argue that there are theoretical grounds for why this claim is true. In this note, we point out that these…
The popular systemic risk measure CoVaR (conditional Value-at-Risk) and its variants are widely used in economics and finance. In this article, we propose joint dynamic forecasting models for the Value-at-Risk (VaR) and CoVaR. The CoVaR…
This paper develops a novel nonparametric significance test based on a tailored nonparametric-type projected weighting function that exhibits appealing theoretical and numerical properties. We derive the asymptotic properties of the…
Following our previous work on copula-based nonsymmetric bivariate dependence measures, we propose a new set of conditions on nonsymmetric multivariate dependence measures which characterize both independence and complete dependence of one…
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with…