Related papers: Factor risk measures
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large…
We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…
We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement…
This paper introduces marginal fairness, a new individual fairness notion for equitable decision-making in the presence of protected attributes such as gender, race, and religion. This criterion ensures that decisions based on generalized…
Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
In this research, starting from a widely accepted definition of risk, we support the idea that risk reduction is a more realistic objective than risk minimization, which represents a theoretical utopia. Furthermore, significant risk…
We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…
Estimating the effect of a change in a particular risk factor and a chronic disease requires information on the risk factor from two time points; the enrolment and the first follow-up. When using observational data to study the effect of…
This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `correct'. We draw the distinction between `external' and…
In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, we first consider a distributional uncertainty set which is…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
We develop a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: the first, which we largely focus on, features a…
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, practical and theoretical considerations have highlighted quite a…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures introduced in…
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…