Zobrazeno 1 - 10
of 4 339
pro vyhledávání: '"Quantitative Finance - Risk Management"'
Autor:
Fortuna, Kamil, Szwabiński, Janusz
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent financial
Externí odkaz:
http://arxiv.org/abs/2411.10386
Autor:
Müller, Alfred
The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision makers. The sit
Externí odkaz:
http://arxiv.org/abs/2411.10139
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one or more market participants is experiencing financial distress. Various
Externí odkaz:
http://arxiv.org/abs/2411.09676
We propose a new risk sensitive reinforcement learning approach for the dynamic hedging of options. The approach focuses on the minimization of the tail risk of the final P&L of the seller of an option. Different from most existing reinforcement lear
Externí odkaz:
http://arxiv.org/abs/2411.09659
We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each example we apply
Externí odkaz:
http://arxiv.org/abs/2411.09657
Autor:
Giller, Graham L.
In this short note the theory for multivariate asset allocation with elliptically symmetric distributions of returns, as developed in the author's prior work, is specialized to the case of returns drawn from a multivariate Laplace distribution. This
Externí odkaz:
http://arxiv.org/abs/2411.08967
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 prospect
Externí odkaz:
http://arxiv.org/abs/2411.07212
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted standard-deviatile. First, we derive the asymptotic expansions of the
Externí odkaz:
http://arxiv.org/abs/2411.07203
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by the Archimedean copula family as opposed to the widely used Gaussian copula. The resulting model is new
Externí odkaz:
http://arxiv.org/abs/2411.06640
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 between assets t
Externí odkaz:
http://arxiv.org/abs/2411.06080