Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Michel Baes"'
Autor:
Michel Baes, Eric Schaanning
Publikováno v:
Mathematical Finance, 33 (2)
We propose a systematic algorithmic reverse-stress testing methodology to create "worst case" scenarios for regulatory stress tests by accounting for losses that arise from distressed portfolio liquidations. First, we derive the optimal bank response
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c0178d40efb3749eddd4b89cd958d0e
https://doi.org/10.1111/mafi.12373
https://doi.org/10.1111/mafi.12373
Publikováno v:
Mathematical Finance. 30:128-166
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of prespecified eligible assets in order to pass a given capital adequacy test. Fro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc6f93549c937a286f536d5eaf4d37cf
https://doi.org/10.1111/mafi.12205
https://doi.org/10.1111/mafi.12205
Publikováno v:
SSRN Electronic Journal.
Despite substantial regulatory reforms, MMFs exposed to private assets experienced severe stress in March 2020. In the EU, Low Volatility Net Asset Value (LVNAVs) MMFs faced acute challenges to meet regulatory requirements while facing high redemptio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8b0917896a5c33cd15a67afe08400a8d
https://doi.org/10.2139/ssrn.3884890
https://doi.org/10.2139/ssrn.3884890
Autor:
Cosimo Munari, Michel Baes
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to focusing on set-valued maps associating to any financial position the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::68c7326ff9bd72aff91171a03a8c0865
https://www.zora.uzh.ch/id/eprint/174433/
https://www.zora.uzh.ch/id/eprint/174433/
Publikováno v:
IEEE Transactions on Neural Networks and Learning Systems, 34 (1)
Calypso Herrera
Calypso Herrera
This article revisits the problem of decomposing a positive semidefinite matrix as a sum of a matrix with a given rank plus a sparse matrix. An immediate application can be found in portfolio optimization, when the matrix to be decomposed is the cova
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0a049f3160d38714ff57062fed27d7ae
http://arxiv.org/abs/1908.00461
http://arxiv.org/abs/1908.00461
Autor:
Michel Baes, Huiling Lin
Publikováno v:
Optimization. 64:2395-2416
We first discuss some properties of the solution set of a monotone symmetric cone linear complementarity problem (SCLCP), and then consider the limiting behaviour of a sequence of strictly feasible solutions within a wide neighbourhood of central tra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b3193771e918af64c4520a50b869bab0
https://doi.org/10.1080/02331934.2014.979323
https://doi.org/10.1080/02331934.2014.979323
We extend in two ways the standard Karush---Kuhn---Tucker optimality conditions to problems with a convex objective, convex functional constraints, and the extra requirement that some of the variables must be integral. While the standard Karush---Kuh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f3d457d23f2053d21fdd9ea49e680af
https://orca.cardiff.ac.uk/id/eprint/86769/1/OptimalityConditions.pdf
https://orca.cardiff.ac.uk/id/eprint/86769/1/OptimalityConditions.pdf
Autor:
Michael Bürgisser, Michel Baes
Publikováno v:
Mathematical Methods of Operations Research. 77:279-289
We show that the Hedge algorithm, a method that is widely used in Machine Learning, can be interpreted as a particular instance of Dual Averaging schemes, which have recently been introduced by Nesterov for regret minimization. Based on this interpre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3a60e82e3444584e2cd25fb99150f5b8
https://doi.org/10.1007/s00186-012-0418-1
https://doi.org/10.1007/s00186-012-0418-1
Publikováno v:
European Journal of Operational Research. 222:663-672
Estimating the probabilities by which different events might occur is usually a delicate task, subject to many sources of inaccuracies. Moreover, these probabilities can change over time, leading to a very difficult evaluation of the risk induced by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb7dcd9011770af5fd1a2f34309a2218
https://doi.org/10.1016/j.ejor.2012.03.036
https://doi.org/10.1016/j.ejor.2012.03.036
Publikováno v:
IEEE Transactions on Automatic Control. 54:988-999
This paper presents an application of positive polynomials to the reduction of the number of temperature constraints of a proper orthogonal decomposition (POD)-based predictive controller for a non-isothermal tubular reactor. The objective of the con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f7789d6225f528ad0022c9d606f2ff9f
https://doi.org/10.1109/tac.2009.2017136
https://doi.org/10.1109/tac.2009.2017136