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Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…
In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to…
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…
Survivorship analysis allows to statistically analyze situations that can be modeled as waiting times to an event. These waiting times are characterized by the cumulative hazard rate, which can be estimated by the Nelson-Aalen estimator or…
Learning disentangled representations that correspond to factors of variation in real-world data is critical to interpretable and human-controllable machine learning. Recently, concerns about the viability of learning disentangled…
We introduce \textsc{CAT}, a framework designed to evaluate and visualize the \emph{interplay} of \emph{accuracy} and \emph{response consistency} of Large Language Models (LLMs) under controllable input variations, using multiple-choice…
In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
Crop yields and harvest prices are often considered to be negatively correlated, thus acting as a natural risk management hedge through stabilizing revenues. Storage theory gives reason to believe that the correlation is an increasing…
Using data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By…
Risk governance is not only about identifying and measuring adverse states of the world. It also asks when an institution is entitled to rely on a risk claim. This paper introduces modal epistemic tools for that second layer of QRM. For a…
The classical approach to analyze time-to-event data, e.g. in clinical trials, is to fit Kaplan-Meier curves yielding the treatment effect as the hazard ratio between treatment groups. Afterwards commonly a log-rank test is performed in…
Decision makers increasingly rely on algorithmic risk scores to determine access to binary treatments including bail, loans, and medical interventions. In these settings, we reconcile two fairness criteria that were previously shown to be…
We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated…
We consider the problem in precision health of grouping people into subpopulations based on their degree of vulnerability to a risk factor. These subpopulations cannot be discovered with traditional clustering techniques because their…
The implementation of a supervision and incentive process for identical workers may lead to wage variance that stems from employer and employee optimization. The harder it is to assess the nature of the labor output, the more important such…
This paper investigates factors related to the acceptance of trust registers (e.g., the Chinese Social Credit System - SCS) in Western settings. To avoid a negative connotation, we first define the concept of trust register which…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…