相关论文: A Probabilistic Simulation Based VaR Computation a…

We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via…

Rapidly evolving market conditions call for real-time risk monitoring, but its online estimation remains challenging. In this paper, we study the online estimation of one of the most widely used risk measures, Value at Risk (VaR). Its…

In order to estimate the conditional risk of a portfolio's return, two strategies can be advocated. A multivariate strategy requires estimating a dynamic model for the vector of risk factors, which is often challenging, when at all…

Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based risk assessment methods often struggle under volatile market…

A vulnerability scan combined with information about a computer network can be used to create an attack graph, a model of how the elements of a network could be used in an attack to reach specific states or goals in the network. These…

Using Monte Carlo simulation to calculate the Value at Risk (VaR) as a possible risk measure requires adequate techniques. One of these techniques is the application of a compound distribution for the aggregates in a portfolio. In this…

The aim of this paper is to describe a new an integrated methodology for project control under uncertainty. This proposal is based on Earned Value Methodology and risk analysis and presents several refinements to previous methodologies.…

Support vector machines (SVMs) are widely used and constitute one of the best examined and used machine learning models for two-class classification. Classification in SVM is based on a score procedure, yielding a deterministic…

It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…

Value-at-Risk (VaR) is one of the main regulatory tools used for risk management purposes. However, it is difficult to compute optimal VaR portfolios; that is, an optimal risk-reward portfolio allocation using VaR as the risk measure. This…

We show how one can actually take advantage of the strongly non-Gaussian nature of the fluctuations of financial assets to simplify the calculation of the Value-at-Risk of complex non linear portfolios. The resulting equations are not hard…

Sensitivity analysis is an important concept to analyze the influences of parameters in a system, an equation or a collection of data. The methods used for sensitivity analysis are divided into deterministic and statistical techniques.…

We study the optimal portfolio allocation problem from a Bayesian perspective using value at risk (VaR) and conditional value at risk (CVaR) as risk measures. By applying the posterior predictive distribution for the future portfolio…

The objective of reliability sensitivity analysis is to determine input variables that mostly contribute to the variability of the failure probability. In this paper, we study a recently introduced method for the reliability sensitivity…

GAS models have been recently proposed in time-series econometrics as valuable tools for signal extraction and prediction. This paper details how financial risk managers can use GAS models for Value-at-Risk (VaR) prediction using the novel…

Computer experiments are becoming increasingly important in scientific investigations. In the presence of uncertainty, analysts employ probabilistic sensitivity methods to identify the key-drivers of change in the quantities of interest.…

We present an exact approach to analyze and quantify the sensitivity of higher moments of probabilistic loops with symbolic parameters, polynomial arithmetic and potentially uncountable state spaces. Our approach integrates methods from…

This paper addresses allocation methodologies for a risk measure inherited from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR) measure defined as the smallest initial capital needed to ensure that the ultimate ruin…

This paper presents sensitivity analyses of resilience-based active distribution system planning solutions with respect to different parameters. The distribution system planning problem is formulated as a two-stage risk-averse stochastic…

This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal…