相关论文: Measuring sectoral diversification in an asymptoti…

We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative…

Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that have good explanatory power for future…

While asset-pricing models increasingly recognize that factor risk premia are subject to structural change, existing literature typically assumes that investors correctly account for such instability. This paper studies how investors…

The multifractal formalism for measures in its original formulation is checked for special classes of measures such as doubling, self-similar, and Gibbs-like ones. Out of these classes, suitable conditions should be taken into account to…

Portfolio diversification, traditionally measured through asset correlations and volatilitybased metrics, is fundamental to managing financial risk. However, existing diversification metrics often overlook non-numerical relationships…

We study the tail behavior of the distribution of the sum of asymptotically independent risks whose marginal distributions belong to the maximal domain of attraction of the Gumbel distribution. We impose conditions on the distribution of…

Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…

Ensuring safety in autonomous multi-agent systems during time-critical tasks such as rendezvous is a fundamental challenge, particularly under communication delays and uncertainty in system parameters. In this paper, we develop a…

Many banks adopt the Loss Distribution Approach to quantify the operational risk capital charge under Basel II requirements. It is common practice to estimate the capital charge using the 0.999 quantile of the annual loss distribution,…

We propose a regularized factor-augmented vector autoregressive (FAVAR) model that allows for sparsity in the factor loadings. In this framework, factors may only load on a subset of variables which simplifies the factor identification and…

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance…

We propose a fast and flexible method to scale multivariate return volatility predictions up to high-dimensions using a dynamic risk factor model. Our approach increases parsimony via time-varying sparsity on factor loadings and is able to…

Dynamic factor models are often estimated by point-estimation methods, disregarding parameter uncertainty. We propose a method accounting for parameter uncertainty by means of posterior approximation, using variational inference. Our…

We introduce a multivariate multidimensional mixed-effects regression model in a finite mixture framework. We relax the usual unidimensionality assumption on the random effects multivariate distribution. Thus, we introduce a…

We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail…

The problem of model selection in the context of a system of stochastic differential equations (SDEs) has not been touched upon in the literature. Indeed, properties of Bayes factors have not been studied even in single SDE based model…

We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…

Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…

Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, risk functionals constitute a fundamental building block in…

A previous paper by the authors found explicit contour integral formulas for certain joint moments of the multi-species q-TAZRP (totally asymmetric zero range process), using algebraic methods. These contour integral formulas have a…