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We propose a two-stage estimation procedure for a copula-based model with semi-competing risks data, where the non-terminal event is subject to dependent censoring by the terminal event, and both events are subject to independent censoring.…
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…
We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages:…
Quantity and price risks are key uncertainties market participants face in electricity markets with increased volatility, for instance, due to high shares of renewables. From day ahead until real-time, there is a large variation in the best…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) is covered. Using…
Climate change is widely expected to increase weather related damage and the insurance claims that result from it. This will increase insurance premiums, in a way that is independent of a customer's contribution to the causes of climate…
This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applications in ruin theory. Like standard Poisson processes, MIPPs…
Three traits of decentralized finance are studied. First, the market impact function is derived for optimal-growth liquidity providers. For a standard random walk, the classic square-root impact is recovered. An extension is then derived to…
This article presents an analysis of the stabilization of a multidimensional partial differential wave equation under a well designed event-triggering mechanism that samples the boundary control input. The wave equation is set in a bounded…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
In this work, we consider the problem of event-triggered implementation of control laws designed for the local stabilization of nonlinear systems with center manifolds. We propose event-triggering conditions which are derived from a local…
Credit risk in the China's bond market has become increasingly evident, creating a progressively escalating risk of default for credit bond investors. Given the current incomplete and inaccurate bond information disclosure, timely tracking…
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…
Using Croatian data and the IMF's Natural Disaster Debt Dynamic Tool, this paper assesses how public debt adjusts to extreme events in a small open economy. We compare debt paths under baseline and stress scenarios, the latter simulating a…
We introduce a novel event-trigger threshold (ETT) regulation mechanism based on the quantitative semantics of propositional logic (PL). We exploit the expressiveness of the PL vocabulary to deliver a precise and flexible specification of…
Joint multivariate longitudinal and time-to-event data are gaining increasing attention in the biomedical sciences where subjects are followed over time to monitor the progress of a disease or medical condition. In the insurance context,…
It is speculated that higher penetration of inverter-based distributed photo-voltaic (PV) power generators can increase the risk of tripping events due to voltage fluctuations. To quantify this risk utilities need to solve the interactive…
We introduce a random forest approach to enable spreads' prediction in the primary catastrophe bond market. We investigate whether all information provided to investors in the offering circular prior to a new issuance is equally important…
Event attribution in the context of climate change seeks to understand the role of anthropogenic greenhouse gas emissions on extreme weather events, either specific events or classes of events. A common approach to event attribution uses…