Related papers: Budgeted Robust Intervention Design for Financial …
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume…
Robust network design, which aims to guarantee network availability under various failure scenarios while optimizing performance/cost objectives, has received significant attention. Existing approaches often rely on model-based…
This study extends the Gai-Kapadia framework, originally developed for interbank contagion, to assess systemic risk and default cascades in global equity markets. We analyze a 30 asset network comprising Brazilian and developed market…
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…
The preventative strategies for $N-1$ network security dominant in European networks mean that network capacity is kept free in case a line fails. If instead fast corrective actions are used to overcome network overloading when single lines…
We consider optimal intervention in the Elliott-Golub-Jackson network model \cite{jackson14} and we show that it can be transformed into an influence maximization-like form, interpreted as the reverse of a default cascade. Our analysis of…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…
We introduce a novel technique for ``lifting'' dimension lower bounds for linear sketches in the real-valued setting to dimension lower bounds for linear sketches with polynomially-bounded integer entries when the input is a…
Online experiments in ads, recommendation, and member-experience systems are often planned before the dominant interference mechanism is known. A treatment may propagate through budgets, inventory, producer exposure, graph spillovers, or…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
In this paper we consider a network of processors aiming at cooperatively solving linear programming problems subject to uncertainty. Each node only knows a common cost function and its local uncertain constraint set. We propose a…
Networked-guarantee loans may cause the systemic risk related concern of the government and banks in China. The prediction of default of enterprise loans is a typical extremely imbalanced prediction problem, and the networked-guarantee make…
Distribution shifts and minority subpopulations frequently undermine the reliability of deep neural networks trained using Empirical Risk Minimization (ERM). Distributionally Robust Optimization (DRO) addresses this by optimizing for the…
Branch and bound algorithms have been developed for reliability analysis of coherent systems. They exhibit a set of advantages; in particular, they can find a computationally efficient representation of a system failure or survival event,…
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices…
In recent years, bankruptcy forecasting has gained lot of attention from researchers as well as practitioners in the field of financial risk management. For bankruptcy prediction, various approaches proposed in the past and currently in…
We present a learning-augmented online algorithm for the preemptive FIFO buffer management problem, where packets arrive online to a finite-capacity buffer, must be transmitted in FIFO order, and the algorithm may preemptively discard…
Financial regulatory agencies are struggling to manage the systemic risks attributed to negative economic shocks. Preventive interventions are prominent to eliminate the risks and help to build a more resilient financial system. Although…