Related papers: Jointly Exchangeable Collective Risk Models: Inter…
Many natural, engineered, and social systems can be represented using the framework of a layered network, where each layer captures a different type of interaction between the same set of nodes. The study of such multiplex networks is a…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
Connectedness measures the degree at which a time-series variable spills over volatility to other variables compared to the rate that it is receiving. The idea is based on the percentage of variance decomposition from one variable to the…
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both…
Randomized controlled trials (RCTs) are the gold standard for evaluating causal effects but are often costly and difficult to scale; consequently, they are frequently augmented with auxiliary external controls in many applications. Prior…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
In this paper, we provide extended convolution bounds for the Fr\'{e}chet problem and discuss related implications in quantitative risk management. First, we establish a new form of inequality for the Range-Value-at-Risk (RVaR). Based on…
Wealth inequality remains a critical socioeconomic challenge, driven by systemic dynamics and self-reinforcing mechanisms that amplify the economic imbalances. Simplified models from statistical physics provide valuable insights into the…
We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks. The proposed model offers the benefits of incorporating…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
In academic literature portfolio risk management and hedging are often versed in the language of stochastic control and Hamilton--Jacobi--Bellman~(HJB) equations in continuous time. In practice the continuous-time framework of stochastic…
This article concerns a class of generalized linear mixed models for clustered data, where the random effects are mapped uniquely onto the grouping structure and are independent between groups. We derive necessary and sufficient conditions…
We present a study on portfolio investments in financial applications. We describe a general modeling and simulation framework and study the impact on the use of different metrics to measure the correlation among assets. In particular,…
De Finetti's classical result of [18] identifying the law of an exchangeable family of random variables as a mixture of i.i.d. laws was extended to structure theorems for more complex notions of exchangeability by Aldous [1,2,3], Hoover…
Understanding and measuring model risk is important to financial practitioners. However, there lacks a non-parametric approach to model risk quantification in a dynamic setting and with path-dependent losses. We propose a complete theory…
A general expansion scheme based on the concept of linked cluster expansion from the theory of classical spin systems is constructed for models of interacting electrons. It is shown that with a suitable variational formulation of mean-field…
The mean-variance portfolio model, based on the risk-return trade-off for optimal asset allocation, remains foundational in portfolio optimization. However, its reliance on restrictive assumptions about asset return distributions limits its…
We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…
Recent work has introduced sparse exchangeable graphs and the associated graphex framework, as a generalization of dense exchangeable graphs and the associated graphon framework. The development of this subject involves the interplay…
The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $\alpha$-risk plays a…