Related papers: Comparing Methodologies for Ranking Alternatives: …
The need for controlling and effectively managing credit risk has led financial institutions to excel in improving techniques designed for this purpose, resulting in the development of various quantitative models by financial institutions…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network…
When a ranking of institutions such as medical centers or universities is based on an indicator provided with a standard error, confidence intervals should be calculated to assess the quality of these ranks. We consider the problem of…
This paper presents a graphical method for comparing performance of Markov Chain Monte Carlo methods. Most researchers present comparisons of MCMC methods using tables of figures of merit; this paper presents a graphical alternative. It…
We are interested in the analysis of very large continuous-time Markov chains (CTMCs) with many distinct rates. Such models arise naturally in the context of reliability analysis, e.g., of computer network performability analysis, of power…
Model checking undiscounted reachability and expected-reward properties on Markov decision processes (MDPs) is key for the verification of systems that act under uncertainty. Popular algorithms are policy iteration and variants of value…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
Recent trends in planning research have led to empirical comparison becoming commonplace. The field has started to settle into a methodology for such comparisons, which for obvious practical reasons requires running a subset of planners on…
Decision support methods from operations research are widely used to support complex planning decisions. Within the energy sector, energy system models (ESMs) applying modelling to generate alternatives (MGA) generate large sets of…
Ranking is used for a wide array of problems, most notably information retrieval (search). There are a number of popular approaches to the evaluation of ranking such as Kendall's $\tau$, Average Precision, and nDCG. When dealing with…
Clinical trials often involve the assessment of multiple endpoints to comprehensively evaluate the efficacy and safety of interventions. In the work, we consider a global nonparametric testing procedure based on multivariate rank for the…
This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…
The design phase plays a vital role than all other phases in the software development. Software Architecture has to meet both the functional and non-functional quality requirements. The Evaluation of Architecture has to be performed, so…
In recent years, financial fraud detection systems have become very efficient at detecting fraud, which is a major threat faced by e-commerce platforms. Such systems often include machine learning-based algorithms aimed at detecting and…
Evaluating mathematical reasoning in LLMs is constrained by limited benchmark sizes and inherent model stochasticity, yielding high-variance accuracy estimates and unstable rankings across platforms. On difficult problems, an LLM may fail…
Sustainable Investing identifies the approach of investors whose aim is twofold: on the one hand, they want to achieve the best compromise between portfolio risk and return, but they also want to take into account the sustainability of…
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
In practical vehicle routing problems (VRPs), important non-monetary benefits can be achieved with more balanced operational plans which explicitly consider workload equity. This has motivated practitioners to include a wide variety of…