风险管理
Cr\'epey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit…
We examine whether model-based spot volatility estimators extracted from traded options data enhance the predictive power of the Heterogeneous Autoregressive (HAR) model for realized volatility. Specifically, we infer spot volatility under…
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk measures, designed to capture volatility or drawdowns, overlook…
Design and implementation of appropriate social protection strategies is one of the main targets of the United Nation's Sustainable Development Goal (SDG) 1: No Poverty. Cash transfer (CT) programmes are considered one of the main social…
Catastrophe risk has long been recognized to pose a serious threat to the insurance sector. Catastrophe risk pooling offers an effective way to diversify losses arising from catastrophic events. In this paper, we investigate a structure of…
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of tail dependence due to its restrictive focus on the diagonal of the underlying copula. To address this limitation, the framework of path-based…
We study submodularity for law-invariant functionals, with particular attention to convex risk measures. Expected losses are modular, and certainty equivalents are submodular exactly when the loss function is convex. Law-invariant coherent…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…
Surety bonds are financial agreements between a contractor (principal) and obligee (project owner) to complete a project. However, most large-scale projects involve multiple contractors, creating a network and introducing the possibility of…
Classical correlation and rolling PCA summarize market dependence through covariance spectra, but they do not provide a unified operator representation for entropy, purity-based mixing, and standardized structural deviations built from…
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the economic properties of risk measures -- are defined and…
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante allocating capitals to different lines of business within a…
Although climate and nature related scenario analysis is increasingly important in finance, operational implementations remain limited for translating long horizon environmental scenarios into counterparty credit risk measures used in…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions,…
This paper introduces a new extension of the Conditional Autoregressive Value at Risk (CAViaR) model aimed at improving tail risk forecasting across assets. The proposed component-based model, CAViaR with Spillover Effects (CAViaR-SE),…
Consider two sequences of heterogeneous and independent portfolios of risks $T_1,T_2,\ldots$ and $T^*_{1}, T^*_{2},\ldots$ and, let $N_1$ and $N_2$ be two positive integer-valued random variables, independent of $T_i'$ and $T^*_i$,…
This paper introduces a transformative framework for managing path-dependent financial risk by shifting from traditional distribution-centric models to a geometry-based approach. We propose the SigSwap as a new regulatory instrument that…
Enterprise financial risk analysis aims at predicting the future financial risk of enterprises. Due to its wide and significant application, enterprise financial risk analysis has always been the core research topic in the fields of Finance…
We introduce a proxy-reliance-controlled conformal recalibration framework for one-sided Value-at-Risk (VaR), and study a question that existing state-aware methods do not usually isolate: how strongly should the recalibration adjustment…