相关论文: Quantum Implementation of Risk Analysis-relevant C…

Quantum computing is becoming strategically relevant to finance because several core financial bottlenecks are already defined by combinatorial search, expectation estimation, rare-event analysis, representation learning, and long-horizon…

Deploying deep learning models in safety-critical applications remains a very challenging task, mandating the provision of assurances for the dependable operation of these models. Uncertainty quantification (UQ) methods estimate the model's…

Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are…

This study examines the interdependence between cryptocurrencies and international financial indices, such as MSCI World and MSCI Emerging Markets. We compute the value at risk, expected shortfall (ES), and range value at risk (RVaR) and…

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component…

We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and…

Various data modalities are common in real-world applications (e.g., electronic health records, medical images and clinical notes in healthcare). It is essential to develop multimodal learning methods to aggregate various information from…

We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a…

For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…

One of the key applications for quantum computers will be the simulation of other quantum systems that arise in chemistry, materials science, etc, in order to accelerate the process of discovery. It is important to ask: Can this be achieved…

We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to…

We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic…

In the past few years there has been a tumultuous activity aimed at introducing novel conceptual schemes for quantum computing. The approach proposed in (Marzuoli A and Rasetti M 2002, 2005a) relies on the (re)coupling theory of SU(2)…

We propose a Bayesian copula-based framework to quantify clinically interpretable joint tail risks from paired continuous biomarkers. After converting each biomarker margin to rank-based pseudo-observations, we model dependence using…

This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio…

The class of index-mixed copulas is introduced and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector, and show a rather remarkable degree of analytical tractability. The…

Key to effective generic, or "black-box", variational inference is the selection of an approximation to the target density that balances accuracy and speed. Copula models are promising options, but calibration of the approximation can be…

This paper is the documentation of a pre-study performed by AXA Konzern AG in collaboration with Fraunhofer ITWM to assess the relevance of quantum computing for the insurance industry. Beside a general overview of the status quo of quantum…

It is known that quantum computers can speed up Monte Carlo simulation compared to classical counterparts. There are already some proposals of application of the quantum algorithm to practical problems, including quantitative finance. In…

Recurrence quantification analysis (RQA) is a widely used tool for studying complex dynamical systems, but its standard implementation requires computationally expensive calculations of recurrence plots (RPs) and line length histograms.…