Výsledky vyhľadávania - "Quantitative Finance - Risk Management"

Worst-case values of target semi-variances with applications to robust portfolio selection

Autori: Cai, Jun Jiao, Zhanyi Mao, Tiantian

Zdroj: European Journal of Operational Research. 327:905-921

Predmety: FOS: Economics and business, Portfolio Management (q-fin.PM), Risk Management (q-fin.RM), Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2410.01732

Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts

Autori: Zongxiao Wu Yizhe Dong Yaoyiran Li a ďalší

Zdroj: European Journal of Operational Research. 326:691-706

Predmety: FOS: Economics and business, Quantitative Finance - Computational Finance, Risk Management (q-fin.RM), Computational Finance (q-fin.CP), Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2503.18029

Benchmarking M6 competitors: An analysis of financial metrics and discussion of incentives

Autori: Matthew J. Schneider Rufus Rankin Prabir Burman a ďalší

Zdroj: International Journal of Forecasting. 41:1383-1394

Predmety: FOS: Economics and business, FOS: Computer and information sciences, Portfolio Management (q-fin.PM), Risk Management (q-fin.RM), 1. No poverty, Applications (stat.AP), Statistics - Applications, Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2406.19105

Best- and worst-case scenarios for GlueVaR distortion risk measure with incomplete information

Autori: Zhao, Mengshuo Yin, Chuancun

Zdroj: Communications in Statistics - Theory and Methods. :1-27

Predmety: FOS: Economics and business, Risk Management (q-fin.RM), Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2409.19902

Optimal mutual insurance against systematic longevity risk

Autori: John Armstrong James Luke Dalby

Zdroj: Armstrong, J & Dalby, J 2025, 'Optimal mutual insurance against systematic longevity risk', Scandinavian Actuarial Journal.

Predmety: FOS: Economics and business, Portfolio Management (q-fin.PM), Collective pension funds, Quantitative Finance - Mathematical Finance, Risk Management (q-fin.RM), Epstein–Zin preferences, Optimal mutual insurance, Idiosyncratic and systematic longevity risk, Mathematical Finance (q-fin.MF), Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management

Popis súboru: application/pdf

Prístupová URL adresa: http://arxiv.org/abs/2410.07749
https://kclpure.kcl.ac.uk/portal/en/publications/c2d9329c-cf6b-4017-81cd-5e8f9e60979f

Supply Chain Characteristics as Predictors of Cyber Risk: A Machine-Learning Assessment

Autori: Kevin Hu Retsef Levi Raphael Yahalom a ďalší

Zdroj: IEEE Transactions on Dependable and Secure Computing. 22:5648-5657

Predmety: FOS: Economics and business, FOS: Computer and information sciences, 03 medical and health sciences, Computer Science - Cryptography and Security, 0302 clinical medicine, Risk Management (q-fin.RM), 0202 electrical engineering, electronic engineering, information engineering, 02 engineering and technology, Cryptography and Security (cs.CR), Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2210.15785

Convolution Bounds on Quantile Aggregation

Autori: Jose Blanchet Henry Lam Yang Liu a ďalší

Zdroj: Operations Research. 73:2761-2781

Predmety: Probability (math.PR), 0211 other engineering and technologies, 02 engineering and technology, 01 natural sciences, Mathematical Finance (q-fin.MF), FOS: Economics and business, Quantitative Finance - Mathematical Finance, Optimization and Control (math.OC), Risk Management (q-fin.RM), FOS: Mathematics, 0101 mathematics, Mathematics - Optimization and Control, Mathematics - Probability, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2007.09320

A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation

Autori: Crépey, Stéphane Frikha, Noufel Louzi, Azar

Zdroj: Finance and Stochastics. 29:1015-1074

Predmety: FOS: Economics and business, Quantitative Finance - Computational Finance, Risk Management (q-fin.RM), Probability (math.PR), FOS: Mathematics, Computational Finance (q-fin.CP), Mathematics - Probability, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2304.01207

Risk-Averse Markov Decision Processes Through a Distributional Lens

Autori: Ziteng Cheng Sebastian Jaimungal

Zdroj: Mathematics of Operations Research. 50:1707-1733

Predmety: 0209 industrial biotechnology, 05 social sciences, 0211 other engineering and technologies, 02 engineering and technology, Mathematical Finance (q-fin.MF), 01 natural sciences, FOS: Economics and business, Quantitative Finance - Mathematical Finance, Optimization and Control (math.OC), Risk Management (q-fin.RM), 0502 economics and business, FOS: Mathematics, 0101 mathematics, Mathematics - Optimization and Control, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2203.09612

Randomization of short-rate models, analytic pricing and flexibility in controlling implied volatilities*

Autori: Lech A. Grzelak Mathematical Modeling Sub Mathematical Modeling

Prispievatelia: Lech A. Grzelak Mathematical Modeling Sub Mathematical Modeling

Zdroj: International Journal of Computer Mathematics. :1-26

Predmety: q-fin.CP, 05 social sciences, short-rate models, Computational Finance (q-fin.CP), Randomization, stochastic parameters, Mathematical Finance (q-fin.MF), FOS: Economics and business, RAnD method, q-fin.PM, Quantitative Finance - Computational Finance, Portfolio Management (q-fin.PM), q-fin.RM, randomized Hull-White model (rHW), Quantitative Finance - Mathematical Finance, Risk Management (q-fin.RM), q-fin.MF, 0502 economics and business, Pricing of Securities (q-fin.PR), q-fin.PR, Quantitative Finance - Pricing of Securities, Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management

Popis súboru: application/pdf

Prístupová URL adresa: http://arxiv.org/abs/2211.05014
https://research-portal.uu.nl/en/publications/099e660e-0e82-48cb-b856-ad0ebc032c5e
https://doi.org/10.1080/00207160.2025.2540548
http://10.10.70.176:8080/experts/en/publications/8403f97e-0526-419d-8551-48a2332fb893
https://dspace.library.uu.nl/handle/1874/426241

The Elasticity of Quantitative Investment

Autori: Davis, Carter

Zdroj: The Review of Financial Studies. 38:2845-2886

Predmety: FOS: Economics and business, Statistical Finance (q-fin.ST), Portfolio Management (q-fin.PM), Quantitative Finance - Mathematical Finance, Risk Management (q-fin.RM), Quantitative Finance - Statistical Finance, Mathematical Finance (q-fin.MF), Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2303.14533

Cluster GARCH

Autori: Chen Tong Peter Reinhard Hansen Ilya Archakov

Zdroj: Journal of Business & Economic Statistics. :1-14

Predmety: FOS: Economics and business, Risk Management (q-fin.RM), Econometrics (econ.EM), Economics - Econometrics, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2406.06860

The Gerber-Shiu expected discounted penalty function: an application to poverty trapping

Autori: Flores-Contró, José Miguel

Zdroj: Scandinavian Actuarial Journal. :1-22

Predmety: FOS: Economics and business, General Economics (econ.GN), Risk Management (q-fin.RM), 8. Economic growth, Probability (math.PR), 1. No poverty, FOS: Mathematics, Mathematics - Probability, Economics - General Economics, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2402.11715

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework

Autori: Hanchao Liu Dena Firoozi Michèle Breton

Zdroj: SIAM Journal on Control and Optimization. 63:2251-2281

Predmety: FOS: Economics and business, Quantitative Finance - Mathematical Finance, Optimization and Control (math.OC), Risk Management (q-fin.RM), Probability (math.PR), FOS: Mathematics, FOS: Electrical engineering, electronic engineering, information engineering, Systems and Control (eess.SY), Mathematics - Optimization and Control, Electrical Engineering and Systems Science - Systems and Control, Mathematical Finance (q-fin.MF), Mathematics - Probability, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2305.15364

Counter-monotonic risk allocations and distortion risk measures

Autori: Ghossoub, Mario Ren, Qinghua Wang, Ruodu

Zdroj: Scandinavian Actuarial Journal. :1-24

Predmety: FOS: Economics and business, Risk Management (q-fin.RM), Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2407.16099

Nonparametric Test for Rough Volatility

Autori: Chong, Carsten H. Todorov, Viktor

Zdroj: Journal of the American Statistical Association. :1-12

Predmety: FOS: Economics and business, Statistical Finance (q-fin.ST), Quantitative Finance - Mathematical Finance, Risk Management (q-fin.RM), Econometrics (econ.EM), FOS: Mathematics, Quantitative Finance - Statistical Finance, Mathematics - Statistics Theory, Statistics Theory (math.ST), Mathematical Finance (q-fin.MF), Economics - Econometrics, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2407.10659

Measuring risk contagion in financial networks with CoVaR

Autori: Das, Bikramjit Fasen-Hartmann, Vicky

Zdroj: Finance and Stochastics. 29:707-755

Predmety: Bipartite graph, CoVaR, Financial network, ddc:330, Primary 62G32, 91G45, 91G70, Secondary 60G70, 62H05, Probability (math.PR), Copula models, D81, FOS: Economics and business, Gaussian copula, Risk Management (q-fin.RM), FOS: Mathematics, C13, G32, Heavy tails, Mathematics - Probability, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2309.15511
https://hdl.handle.net/10419/323275

Propagation of a Carbon Price in a Credit Portfolio through Macroeconomic Factors

Autori: Géraldine Bouveret Jean-François Chassagneux Smail Ibbou a ďalší

Zdroj: SIAM Journal on Financial Mathematics. 16:545-605

Predmety: FOS: Economics and business, General Economics (econ.GN), 13. Climate action, Quantitative Finance - Mathematical Finance, Risk Management (q-fin.RM), 8. Economic growth, 7. Clean energy, Mathematical Finance (q-fin.MF), Quantitative Finance - Risk Management, Economics - General Economics

Prístupová URL adresa: http://arxiv.org/abs/2307.12695

Long-range dependent mortality modeling with cointegration

Autori: Chiu, Mei Choi Wang, Ling Wong, Hoi Ying

Zdroj: Scandinavian Actuarial Journal. :1-34

Predmety: FOS: Economics and business, Risk Management (q-fin.RM), Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2503.09377

Set-valued star-shaped risk measures

Autori: Bingchu Nie Dejian Tian Long Jiang

Zdroj: Mathematics and Financial Economics. 19:329-350

Predmety: FOS: Economics and business, Risk Management (q-fin.RM), 91G70, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2402.18014