Related papers: Stabilized Maximum-Likelihood Iterative Quantum Am…

We introduce two quantum algorithms to compute the Value at Risk (VaR) and Conditional Value at Risk (CVaR) of financial derivatives using quantum computers: the first by applying existing ideas from quantum risk analysis to derivative…

In this paper we estimate the conditional value-at-risk by fitting different multivariate parametric models capturing some stylized facts about multivariate financial time series of equity returns: heavy tails, negative skew, asymmetric…

Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These…

In this paper, we introduce an efficient and end-to-end quantum algorithm tailored for computing the Value-at-Risk (VaR) and conditional Value-at-Risk (CVar) for a portfolio of European options. Our focus is on leveraging quantum…

In this study, we address the challenge of portfolio optimization, a critical aspect of managing investment risks and maximizing returns. The mean-CVaR portfolio is considered a promising method due to today's unstable financial market…

We propose a sigmoidal approximation for the value-at-risk (that we call SigVaR) and we use this approximation to tackle nonlinear programs (NLPs) with chance constraints. We prove that the approximation is conservative and that the level…

The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…

This paper addresses the estimation of the systemic risk measure known as CoVaR, which quantifies the risk of a financial portfolio conditional on another portfolio being at risk. We identify two principal challenges: conditioning on a…

Instrumental variable (IV) methods are central to causal inference from observational data, particularly when a randomized experiment is not feasible. However, of the three conventional core IV identification conditions, only one, IV…

We study the optimal portfolio allocation problem from a Bayesian perspective using value at risk (VaR) and conditional value at risk (CVaR) as risk measures. By applying the posterior predictive distribution for the future portfolio…

We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…

The increasing value of data held in enterprises makes it an attractive target to attackers. The increasing likelihood and impact of a cyber attack have highlighted the importance of effective cyber risk estimation. We propose two methods…

We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the difference between two specified quantiles, via restricted…

We propose a variational quantum classifier operating on high dimensional deep representations via amplitude encoding, stabilized by a learnable classical pre encoding layer.By combining normalized amplitude embeddings with bounded quantum…

Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…

This paper analyzes the computational complexity of validated interval methods for uncertain nonlinear systems and steady-state enclosure. Interval analysis produces guaranteed enclosures that account for uncertainty and round-off, but its…

Variational quantum algorithms (VQAs) are hybrid quantum-classical approaches used for tackling a wide range of problems on noisy intermediate-scale quantum (NISQ) devices. Testing these algorithms on relevant hardware is crucial to…

We propose novel methods for Conditional Value-at-Risk (CVaR) estimation for nonlinear systems under high-dimensional dependent random inputs. We develop a novel DD-GPCE-Kriging surrogate that merges dimensionally decomposed generalized…

Quantum amplitude estimation is a key subroutine in a number of powerful quantum algorithms, including quantum-enhanced Monte Carlo simulation and quantum machine learning. Maximum-likelihood quantum amplitude estimation (MLQAE) is one of a…

Solving chance-constrained optimal control problems for systems subject to non-stationary uncertainties is a significant challenge.Conventional robust model predictive control (MPC) often yields excessive conservatism by relying on static…