风险管理
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), formulate the corresponding optimization problem, and propose an…
We build a balance sheet-based model to capture run risk, i.e., a reduced potential to raise capital from liquidity buffers under stress, driven by depositor scrutiny and further fueled by fire sales in response to withdrawals. The setup is…
The marketing departments of financial institutions strive to craft products and services that cater to the diverse needs of businesses of all sizes. However, it is evident upon analysis that larger corporations often receive a more…
The rapid expansion of e-commerce and the widespread use of credit cards in online purchases and financial transactions have significantly heightened the importance of promptly and accurately detecting credit card fraud (CCF). Not only do…
In economic analysis, rational decision-makers often take actions to reduce their risk exposure. These actions include purchasing market insurance and implementing prevention measures to modify the shape of the loss distribution. Under the…
In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures. Motivated by the results of scalar monetary and star-shaped risk measures, this paper investigates the representation theorems…
Financial risks can propagate across both tightly coupled temporal and spatial dimensions, posing significant threats to financial stability. Moreover, risks embedded in unlabeled data are often difficult to detect. To address these…
What if the main data protection vulnerability is risk management? Data Protection merges three disciplines: data protection law, information security, and risk management. Nonetheless, very little research has been made on the field of…
In recent years, the frequency and intensity of grid-ignited wildfires have increased significantly, leading to an elevated level of risk exposure to public safety and financial repercussions for electric utilities threatening their…
In today's complex and volatile financial market environment, risk management of multi-asset portfolios faces significant challenges. Traditional risk assessment methods, due to their limited ability to capture complex correlations between…
We study the problem of choosing the copula when the marginal distributions of a random vector are not all continuous. Inspired by four motivating examples including simulation from copulas, stress scenarios, co-risk measures, and…
The Basel Committee on Banking Supervision proposed replacing all approaches for operational risk capital, including the Advanced Measurement Approach (AMA), with a simplified formula called the Standardized Measurement Approach (SMA). This…
We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect of portfolio diversification and heterogeneous investments using a random matrix dynamical…
We study risk measures $\varphi:E\longrightarrow\mathbb{R}\cup\{\infty\}$, where $E$ is a vector space of random variables which a priori has no lattice structure$\unicode{x2014}$a blind spot of the existing risk measures literature. In…
In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and applies to many deviation and variability measures. We also show…
Debt recycling is an aggressive equity extraction strategy that potentially permits faster repayment of a mortgage. While equity progressively builds up as the mortgage is repaid monthly, mortgage holders may obtain another loan they could…
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims. Cash subadditivity has been traditionally…
We introduce a model-free preference under ambiguity, as a primitive trait of behavior, which we apply once as well as repeatedly. Its single and double application yield simple, easily interpretable definitions of ambiguity aversion and…
We describe challenges and opportunities related to risk assessment and mitigation for loss of earning capacity insurance with a special focus on Denmark. The presence of public benefits, claim settlement processes, and prevention…
In this short note, we address two issues in the literature about modern tontines with bequest and utility maximisation: how to verify optimal controls and the decreasing allocation of funds in the tontine. We want to raise awareness in the…