Related papers: Systemic Risk Surveillance
Organizations that develop software have recognized that software process models are particularly useful for maintaining a high standard of quality. In the last decade, simulations of software processes were used in several settings and…
Maritime monitoring systems support safe shipping as they allow for the real-time detection of dangerous, suspicious and illegal vessel activities. We present such a system using the Run-Time Event Calculus, a composite event recognition…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
Recently there has been a lot of interest in monitoring and identifying changes in dynamic networks, which has led to the development of a variety of monitoring methods. Unfortunately, these methods have not been systematically compared;…
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
Financial statement auditing is conducted under a risk-based evidence approach to obtain reasonable assurance. In practice, auditors often perform additional sampling or related procedures when an initial sample does not provide a…
In this work, we examine the evaluation process for the task of detecting financial reports with a high risk of containing a misstatement. This task is often referred to, in the literature, as ``misstatement detection in financial…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks…
Large-scale monitoring, anomaly detection, and root cause analysis of metrics are essential requirements of the internet-services industry. To address the need to continuously monitor millions of metrics, many anomaly detection approaches…
This paper introduces a new methodology for detecting anomalies in time series data, with a primary application to monitoring the health of (micro-) services and cloud resources. The main novelty in our approach is that instead of modeling…
Performance-based engineering for natural hazards facilitates the design and appraisal of structures with rigorous evaluation of their uncertain structural behavior under potentially extreme stochastic loads expressed in terms of failure…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
Machine-learned systems are in widespread use for making decisions about humans, and it is important that they are fair, i.e., not biased against individuals based on sensitive attributes. We present a general framework of runtime…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
Detection of anomalous trajectories is an important problem with potential applications to various domains, such as video surveillance, risk assessment, vessel monitoring and high-energy physics. Modeling the distribution of trajectories…
Monitoring software systems at runtime is key for understanding workloads, debugging, and self-adaptation. It typically involves collecting and storing observable software data, which can be analyzed online or offline. Despite the…
The CDC Vaccine Safety Datalink project has pioneered the use of near real-time post-market vaccine safety surveillance for the rapid detection of adverse events. Doing weekly analyses, continuous sequential methods are used, allowing…