Related papers: Reverse stress testing via multivariate modeling w…

In this paper we put forward the viewpoint that the notion of stress testing financial institutions and engineered systems can also be made viable appropos the stress testing an individual's strength of conviction in a probability…

High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…

This paper develops a geospatial framework for climate risk stress testing in California with applications to banking and climate-exposed sectors such as agriculture, real estate, and tourism. The study integrates physical hazard mapping,…

We propose a class of dynamic vine copula models. This is an extension of static vine copulas and a generalization of dynamic C-vine and D-vine copulas studied by Almeida et al (2016) and Goel and Mehra (2019). Within this class, we allow…

In this paper, we present a novel approach to the generation of virtual scenarios of multivariate financial data of arbitrary length and composition of assets. With this approach, decades of realistic time-synchronized data can be simulated…

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…

Considerable interest has recently been focused on studying multiple phenotypes simultaneously in both epidemiological and genomic studies, either to capture the multidimensionality of complex disorders or to understand shared etiology of…

This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…

The purpose of this paper is twofold. First, we provide a novel characterization of independence of random vectors based on the checkerboard approximation to a multivariate copula. Using this result, we then propose a new family of tests of…

Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting performance of a risk measurement procedure,…

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions…

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 selection of essential variables in logistic regression is vital because of its extensive use in medical studies, finance, economics and related fields. In this paper, we explore four main typologies (test-based, penalty-based,…

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…

Regression analysis is one of the most popularly used statistical technique which only measures the direct effect of independent variables on dependent variable. Path analysis looks for both direct and indirect effects of independent…

We study problems with multiple missing covariates and partially observed responses. We develop a new framework to handle complex missing covariate scenarios via inverse probability weighting, regression adjustment, and a multiply-robust…

The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions. This is of…

Testing for pairwise independence for the case where the number of variables may be of the same size or even larger than the sample size has received increasing attention in the recent years. We contribute to this branch of the literature…

This paper tackles the challenge of performing multiple quantile regressions across different quantile levels and the associated problem of controlling the familywise error rate, an issue that is generally overlooked in practice. We propose…

We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…