相关论文: Measuring sectoral diversification in an asymptoti…
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
Nonparametric regression models such as Bayesian Additive Regression Trees (BART) can be useful in fitting flexible functions of a set of covariates to a response, while accounting for nonlinearities and interactions. However, they are…
This study investigates whether international equity markets systematically price global macroeconomic risks. The empirical analysis is conducted using monthly excess returns for ten G20 countries over the period 2000-2024. A Dynamic Factor…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…
We introduce and study a variational framework for the analysis of empirical risk based inference for dynamical systems and ergodic processes. The analysis applies to a two-stage estimation procedure in which (i) the trajectory of an…
In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…
A method for analytic continuation of imaginary-time correlation functions (here obtained in quantum Monte Carlo simulations) to real-frequency spectral functions is proposed. Stochastically sampling a spectrum parametrized by a large…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the…
We develop a linked cluster method to calculate the spectral weights of many-particle excitations at zero temperature. The dynamical structure factor is expressed as a sum of exclusive structure factors, each representing contributions from…
Many studies have focused on investigating deviations from additive interaction of two dichotomous risk factors on a binary outcome. There is, however, a gap in the literature with respect to interactions on the additive scale of >2 risk…
In many domains such as healthcare or finance, data often come in different assays or measurement modalities, with features in each assay having a common theme. Simply concatenating these assays together and performing prediction can be…
In healthcare, clinical risks are crucial for treatment decisions, yet the analysis of their associations is often overlooked. This gap is particularly significant when balancing risks that are weighed against each other, as in the case of…
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…
We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…
Risk sensitive decision making finds important applications in current day use cases. Existing risk measures consider a single or finite collection of random variables, which do not account for the asymptotic behaviour of underlying…
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products…