Related papers: Static marginal expected shortfall: Systemic risk …
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negative ESG premium is priced in the market, this mandate can…
In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…
We develop methods for estimating how infinitesimal policy changes affect long-term outcomes in dynamic systems. We show that dynamic marginal policy effects (MPEs) can be identified via tractable reduced-form expressions, and can be…
Uncertain information on input parameters of reliability models is usually modeled by considering these parameters as random, and described by marginal distributions and a dependence structure of these variables. In numerous real-world…
Crises like COVID-19 or the Japanese earthquake in 2011 exposed the fragility of corporate supply networks. The production of goods and services is a highly interdependent process and can be severely impacted by the default of critical…
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that…
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using…
Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the…
A meticulous assessment of the risk of impacts associated with extreme wind events is of great necessity for populations, civil authorities as well as the insurance industry. Using the concept of spatial risk measure and related set of…
Predicting future operational risk losses gives rise to a significant challenge due to the heterogeneous and time-dependent structures present in real-world data. Furthermore, stress test exercises require examining the relationship with…
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
Obtaining guarantees on the convergence of the minimizers of empirical risks to the ones of the true risk is a fundamental matter in statistical learning. Instead of deriving guarantees on the usual estimation error, the goal of this paper…
In this work, we study the weighted empirical risk minimization (weighted ERM) schema, in which an additional data-dependent weight function is incorporated when the empirical risk function is being minimized. We show that under a general…
This work is an answer to the EIOPA 2017 report. It follows from the latter that in order to assess the potential systemic risk we should take into account the build-up of risk and in particular the risk that arises in time, as well as the…
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter considers the uncertainty about these two parameters and…
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is motivated by the financial acceleration and fire sales…
We study a worst-case approach to measure the sensitivity to model misspecification in the performance analysis of stochastic systems. The situation of interest is when only minimal parametric information is available on the form of the…