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Risk Management
Geometric BSDEs
Yesterday by
Roger J. A. Laeven
and
others
Probability
,
Risk Management
Autonomous Money Supply Strategy Utilizing Control Theory
Yesterday by
Yuval Boneh
Risk Management
,
Computational Finance
Quantifying distribution system resilience from utility data: large event risk and benefits of investments
3 days ago by
Arslan Ahmad
and
Ian Dobson
at
Iowa State University
Systems and Control
,
Risk Management
A nonparametric test for rough volatility
3 days ago by
Carsten Chong
and
Viktor Todorov
Statistics Theory
,
Econometrics
Adaptive Money Market Interest Rate Strategy Utilizing Control Theory
4 days ago by
Yuval Boneh
Risk Management
,
Computational Finance
A note on Skew Brownian Motion with two-valued drift and an application
6 days ago by
Zaniar Ahmadi
and
Xiaowen Zhou
Probability
,
Risk Management
Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
7 days ago by
Bastien Baldacci
and
others
Pricing of Securities
,
Risk Management
Multiple split approach -- multidimensional probabilistic forecasting of electricity markets
10 July 2024 by
Katarzyna Maciejowska
and
Weronika Nitka
Risk Management
,
Statistical Finance
Interbank network reconstruction enforcing density and reciprocity
10 July 2024 by
Valentina Macchiati
and
others
Risk Management
,
Physics and Society
Large Language Model in Financial Regulatory Interpretation
10 July 2024 by
Zhiyu Cao
and
Zachary Feinstein
at
Stevens Institute of Technology
Risk Management
,
Artificial Intelligence
CAESar: Conditional Autoregressive Expected Shortfall
9 July 2024 by
Federico Gatta
and
others
Risk Management
A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
8 July 2024 by
Stéphane Crépey
and
others
at
Université Panthéon-Sorbonne (Paris I)
Computational Finance
,
Probability
Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis
7 July 2024 by
Hanchao Liu
and
Dena Firoozi
at
École des Hautes Études Commerciales
Optimization and Control
,
Functional Analysis
Risk Budgeting Allocation for Dynamic Risk Measures
5 July 2024 by
Sebastian Jaimungal
and
others
Mathematical Finance
,
Portfolio Management
Kullback-Leibler Barycentre of Stochastic Processes
5 July 2024 by
Sebastian Jaimungal
and
Silvana Pesenti
Mathematical Finance
,
Probability
Optimal Robust Reinsurance with Multiple Insurers
5 July 2024 by
Emma Kroell
and
others
Risk Management
The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
3 July 2024 by
Zachary Feinstein
and
others
at
Stevens Institute of Technology
Risk Management
,
Mathematical Finance
Credit Risk Assessment Model for UAE Commercial Banks: A Machine Learning Approach
2 July 2024 by
Aditya Saxena
and
Dr Parizad Dungore
Risk Management
Diversification quotients: Quantifying diversification via risk measures
2 July 2024 by
Xia Han
and
others
Risk Management
On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis
30 June 2024 by
Benjamin Avanzi
and
others
at
University of Melbourne
Risk Management
,
Cryptography and Security
Elicitability and identifiability of tail risk measures
29 June 2024 by
Tobias Fissler
and
others
Statistical Finance
,
Statistics Theory
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients
28 June 2024 by
Parisa Davar
and
others
Machine Learning
,
Risk Management
Forecasting and Backtesting Gradient Allocations of Expected Shortfall
27 June 2024 by
Takaaki Koike
and
others
Risk Management
Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
27 June 2024 by
Corrado Vecchi
and
others
Risk Management
,
Mathematical Finance
Benchmarking M6 Competitors: An Analysis of Financial Metrics and Discussion of Incentives
27 June 2024 by
Matthew Schneider
and
others
at
UC Davis
Portfolio Management
,
Risk Management
Dynamic Clearing and Contagion in Financial Networks
26 June 2024 by
Tathagata Banerjee
and
others
Mathematical Finance
,
Risk Management
An elementary proof of representation of submodular function as an supremum of measures on
\(σ\)
-algebra with totally ordered generating class
26 June 2024 by
Tetsuya Hattori
Functional Analysis
,
Probability
The Merton's Default Risk Model for Public Company
26 June 2024 by
Battulga Gankhuu
Risk Management
Improving Realized LGD Approximation: A Novel Framework with XGBoost for Handling Missing Cash-Flow Data
25 June 2024 by
Zuzanna Kostecka
and
Robert Ślepaczuk
Risk Management
,
Machine Learning
Cash non-additive risk measures: horizon risk and generalized entropy
24 June 2024 by
Giulia Nunno
and
Emanuela Rosazza Gianin
Risk Management
,
Probability
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