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The field of property testing of probability distributions, or distribution testing, aims to provide fast and (most likely) correct answers to questions pertaining to specific aspects of very large datasets. In this work, we consider a…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
We present a semantics for adding uncertainty to conditional logics for default reasoning and belief revision. We are able to treat conditional sentences as statements of conditional probability, and express rules for revision such as "If A…
Overrides of credit ratings are important correctives of ratings that are determined by statistical rating models. Financial institutions and banking regulators agree on this because on the one hand errors with ratings of corporates or…
--- Portuguese version As falhas de software est\~ao com frequ\^encia associadas a acidentes com graves consequ\^encias econ\'omicas e/ou humanas, pelo que se torna imperioso investir na valida\c{c}\~ao do software, nomeadamente daquele que…
We study optimal investment in an asset subject to risk of default for investors that rely on different levels of information. The price dynamics can include noises both from a Wiener process and a Poisson random measure with infinite…
In this paper, we consider a stochastic Model Predictive Control able to account for effects of additive stochastic disturbance with unbounded support, and requiring no restrictive assumption on either independence nor Gaussianity. We…
Deep learning (DL) has demonstrated significant potential across various safety-critical applications, yet ensuring its robustness remains a key challenge. While adversarial robustness has been extensively studied in worst-case scenarios,…
If a Micro Processor Unit (MPU) receives an external electric signal as noise, the system function will freeze or malfunction easily. A new resilience strategy is implemented in order to reset the MPU automatically and stop the MPU from…
Boolean optimization finds a wide range of application domains, that motivated a number of different organizations of Boolean optimizers since the mid 90s. Some of the most successful approaches are based on iterative calls to an NP oracle,…
Our goal is to provide different semiring-based formal tools for the specification of security requirements: we quantitatively enhance the open-system approach, according to which a system is partially specified. Therefore, we suppose the…
This paper proposes new parametric model adequacy tests for possibly nonlinear and nonstationary time series models with noncontinuous data distribution, which is often the case in applied work. In particular, we consider the correct…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
We extended our simulation tool Ntccrt for probabilistic ntcc (pntcc) models. In addition, we developed a verification tool for pntcc models. Using this tool we can prove properties such as the system will go to a successful state with…
Inter-rater reliability (IRR) is one of the commonly used tools for assessing the quality of ratings from multiple raters. However, applicant selection procedures based on ratings from multiple raters usually result in a binary outcome; the…
Despite the general consensus in transport research community that model calibration and validation are necessary to enhance model predictive performance, there exist significant inconsistencies in the literature. This is primarily due to a…
As machine learning is increasingly used in essential systems, it is important to reduce or eliminate the incidence of serious bugs. A growing body of research has developed machine learning algorithms with formal guarantees about…
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital…
Validation of conformance to cybersecurity standards for industrial automation and control systems is an expensive and time consuming process which can delay the time to market. It is therefore crucial to introduce conformance validation…
We introduce probability estimation, a broadly applicable framework to certify randomness in a finite sequence of measurement results without assuming that these results are independent and identically distributed. Probability estimation…