风险管理

We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…

This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…

Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven by the input model, which is a collection of probability…

This paper develops a dynamic internal fraud model for operational losses in retail banking. It considers public operational losses arising from internal fraud in retail banking within a group of international banks. Additionally, the model…

We consider a large collection of dynamically interacting components defined on a weighted directed graph determining the impact of default of one component to another one. We prove a law of large numbers for the empirical measure capturing…

We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using discrete (missing) data and derive a simpler expression for…

Recently, a number of structured funds have emerged as public-private partnerships with the intent of promoting investment in renewable energy in emerging markets. These funds seek to attract institutional investors by tranching the asset…

Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…

We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…

All people have to make risky decisions in everyday life. And we do not know how true they are. But is it possible to mathematically assess the correctness of our choice? This article discusses the model of decision making under risk on the…

Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…

A scenario in which regulators take the drastic step of requiring coverage of all venture bank investment loans using interbank borrowed funds is considered. In this scenario, a minimal amount of default insurance is used, such that Tier 1…

Birth rates have dramatically decreased and, with continuous improvements in life expectancy, pension expenditure is on an irreversibly increasing path. This will raise serious concerns for the sustainability of the public pension systems…

Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked to market but liabilities are not, so…

Despite the high importance of grouping in practice, there exists little research on the respective topic. The present work presents a complete framework for grouping and a novel method to optimize model points. Model points are used to…

We analyse the effectiveness of modern deep learning techniques in predicting credit ratings over a universe of thousands of global corporate entities obligations when compared to most popular, traditional machine-learning approaches such…

This paper presents relations between several types of closedness of a law-invariant convex set in a rearrangement invariant space $\mathcal{X}$. In particular, we show that order closedness,…

In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very…

Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other studies in mechanics give some tools and…

This paper discusses financial fraud detection in imbalanced dataset using homogeneous and non-homogeneous Poisson processes. The probability of predicting fraud on the financial transaction is derived. Applying our methodology to the…