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Found 7 papers, 0 papers with code
Stochastic Cell Transmission Models of Traffic Networks
We introduce a rigorous framework for stochastic cell transmission models for general traffic networks.
Robust portfolio selection under Recovery Average Value at Risk
The comparison with the classical Average Value at Risk shows that portfolio selection under its recovery version enables financial institutions to exert better control on the recovery on liabilities while still allowing for tractable computations.
Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concepts.
Multinomial Backtesting of Distortion Risk Measures
We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures.
Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation
We provide detailed case studies and applications: We analyze how recovery risk measures react to the joint distributions of assets and liabilities on firms' balance sheets and compare the corresponding capital requirements with the current regulatory benchmarks based on Value at Risk and Average Value at Risk.
Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach
Uncertainty requires suitable techniques for risk assessment.
Market Efficient Portfolios in a Systemic Economy
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective.
