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This paper examines whether repeated payday loan use, commonly known as the debt trap, harms borrowers' financial wellbeing. Using Open Banking data from 1,815 UK borrowers observed between 2017 and 2018, we model borrowing intensity using…
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows…
Despite decades of research, existing navigation systems still face real-world challenges when deployed in the wild, e.g., in cluttered home environments or in human-occupied public spaces. To address this, we present a new class of…
In Europe, balance responsible parties can deliberately take out-of-balance positions to support transmission system operators (TSOs) in maintaining grid stability and earn profit, a practice called implicit balancing. Model predictive…
I devise a novel approach to evaluate the effectiveness of fiscal policy in the short run with multi-category treatment effects and inverse probability weighting based on the potential outcome framework. This study's main contribution to…
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…
Cities are increasingly turning to large-scale data analysis and machine learning to make consequential decisions. While the algorithmic fairness community has focused on analyzing the risks and benefits associated with these complex…
We present a framework to design nonlinear robust output feedback model predictive control (MPC) schemes that ensure constraint satisfaction under noisy output measurements and disturbances. We provide novel estimation methods to bound the…
Prescriptive process monitoring methods seek to improve the performance of a process by selectively triggering interventions at runtime (e.g., offering a discount to a customer) to increase the probability of a desired case outcome (e.g., a…
We investigate model predictive control (MPC) formulations for linear systems subject to i.i.d. stochastic disturbances with bounded support and chance constraints. Existing stochastic MPC formulations with closed-loop guarantees can be…
Methods and applications are inextricably linked in science, and in particular in the domain of text-as-data. In this paper, we examine one such text-as-data application, an established economic index that measures economic policy…
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks…
This paper introduces a transparent framework to identify the informational content of FOMC announcements. We do so by modelling the expectations of the FOMC and private sector agents using state of the art computational linguistic tools on…
Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as…
In this paper we present a framework for risk-averse model predictive control (MPC) of linear systems affected by multiplicative uncertainty. Our key innovation is to consider time-consistent, dynamic risk metrics as objective functions to…
Existing integrity verification approaches for deep models are designed for private verification (i.e., assuming the service provider is honest, with white-box access to model parameters). However, private verification approaches do not…
With the increasing pace of automation, modern robotic systems need to act in stochastic, non-stationary, partially observable environments. A range of algorithms for finding parameterized policies that optimize for long-term average…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
We propose a robust model predictive control (MPC) method for discrete-time linear systems with polytopic model uncertainty and additive disturbances. Optimizing over linear time-varying (LTV) state feedback controllers has been…
Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called "dispersion strategy''.…