Related papers: Static marginal expected shortfall: Systemic risk …
In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic…
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…
We address the problem of estimating the expected shortfall risk of a financial loss using a finite number of i.i.d. data. It is well known that the classical plug-in estimator suffers from poor statistical performance when faced with…
Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…
Prediction sets can wrap around any ML model to cover unknown test outcomes with a guaranteed probability. Yet, it remains unclear how to use them optimally for downstream decision-making. Here, we propose a decision-theoretic framework…
This paper examines the biases and performance of several uncertain inference systems: Mycin, a variant of Mycin. and a simplified version of probability using conditional independence assumptions. We present axiomatic arguments for using…
Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for systemic risk measures. First, we classify them into two…
In several applications such as clinical trials and financial portfolio optimization, the expected value (or the average reward) does not satisfactorily capture the merits of a drug or a portfolio. In such applications, risk plays a crucial…
In this paper, we present a novel stochastic output-feedback MPC scheme for distributed systems with additive process and measurement noise. The chance constraints are treated with the concept of probabilistic reachable sets, which, under…
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…
Evaluating the effects of time-varying exposures is essential for longitudinal studies. The effect estimation becomes increasingly challenging when dealing with hundreds of time-dependent confounders. We propose a Marginal Structure…
Assessing the causal effect of time-varying exposures on recurrent event processes is challenging in the presence of a terminating event. Our objective is to estimate both the short-term and delayed marginal causal effects of exposures on…
In this work we propose a framework to construct Market-Implied Sustainability (MIS) scores for individual firms by exploiting fund-level sustainability classifications and granular portfolio holdings. The central idea is that the relative…
Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficulties caused by rare-event simulations. In this study, we…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
We propose a new methodology based on the Marshall-Olkin (MO) copula to model cross-border systemic risk. The proposed framework estimates the impact of the systematic and idiosyncratic components on systemic risk. Initially, we propose a…
Accurate estimation of Marginal Emission Factors (MEFs) is critical for evaluating the decarbonization potential of low-carbon technologies and demand-side management. However, canonical methodologies, predominantly relying on linear…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…