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Found 8 papers, 1 papers with code
ESG Reputation Risk Matters: An Event Study Based on Social Media Data
We investigate the response of shareholders to Environmental, Social, and Governance-related reputational risk (ESG-risk), focusing exclusively on the impact of social media.
An Information Filtering approach to stress testing: an application to FTSE markets
We present a novel methodology to quantify the "impact" of and "response" to market shocks.
The Physics of Financial Networks
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution.
Physics and Society Statistical Mechanics Social and Information Networks Risk Management
Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach
Results are presented for the out-of-sample and the in-sample estimator of the regularized ES, the estimation error, the distribution of the optimal portfolio weights and the density of the assets eliminated from the portfolio by the regularizer.
Evaluating structural edge importance in temporal networks
To monitor risk in temporal financial networks, we need to understand how individual behaviours affect the global evolution of networks.
Computational Engineering, Finance, and Science
Data-Driven Malaria Prevalence Prediction in Large Densely-Populated Urban Holoendemic sub-Saharan West Africa: Harnessing Machine Learning Approaches and 22-years of Prospectively Collected Data
Our Locality-specific Elastic-Net based Malaria Prediction System (LEMPS) achieves good generalization performance, both in magnitude and direction of the prediction, when tasked to predict monthly prevalence on previously unseen validation data (MAE<=6x10-2, MSE<=7x10-3) within a range of (+0. 1 to -0. 05) error-tolerance which is relevant and usable for aiding decision-support in a holoendemic setting.
Network Valuation in Financial Systems
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system.
$L_p$ regularized portfolio optimization
Investors who optimize their portfolios under any of the coherent risk measures are naturally led to regularized portfolio optimization when they take into account the impact their trades make on the market.
Portfolio Management Risk Management
