:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Bossu, Sébastien, Crépey, Stéphane, Nguyen, Hoang-Dung
Format:	Preprint
Published:	2024
Subjects:	Risk Management
Online Access:	https://arxiv.org/abs/2403.14231
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Spanning Multi‐Asset Payoffs With ReLUs
by: Sébastien Bossu, et al.
Published: (2025)

Provisions and Economic Capital for Credit Losses
by: Bastide, Dorinel, et al.
Published: (2024)

Resolving a Clearing Member's Default, A Radner Equilibrium Approach
by: Bastide, Dorinel, et al.
Published: (2023)

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
by: Bénézet, Cyril, et al.
Published: (2023)

An Explicit Scheme for Pathwise XVA Computations
by: Abbas-Turki, Lokman, et al.
Published: (2024)

Physical Climate Risk in Asset Management
by: Azzone, Michele, et al.
Published: (2025)

Research on Financial Multi-Asset Portfolio Risk Prediction Model Based on Convolutional Neural Networks and Image Processing
by: Lei, Fu, et al.
Published: (2024)

Robust Asset-Liability Management
by: de Vries, Tjeerd, et al.
Published: (2023)

An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
by: Giller, Graham L.
Published: (2024)

Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
by: Giller, Graham L
Published: (2025)

Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives
by: Chatziandreou, Konstantinos, et al.
Published: (2026)

A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
by: Crépey, Stéphane, et al.
Published: (2023)

Real-time Risk Metrics for Programmatic Stablecoin Crypto Asset-Liability Management (CALM)
by: Bluhm, Marcel, et al.
Published: (2024)

Quantum Network of Assets (QNA): A Density-Operator Framework for Market Dependence and Structural Risk Diagnostics
by: Gong, Hui, et al.
Published: (2025)

Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach
by: Aslanidis, Nektarios, et al.
Published: (2025)

Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
by: Crépey, Stéphane, et al.
Published: (2023)

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
by: Crépey, Stéphane, et al.
Published: (2024)

Valuing insurance against small probability risks: A meta-analysis
by: Mankaï, Selim, et al.
Published: (2024)

Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDE
by: Liu, Rongwei, et al.
Published: (2025)

Asymptotic Analysis of Optimal Diversification in Catastrophe Risk Pooling
by: Nguyen, Minh Chau, et al.
Published: (2025)

The Fairness of Credit Scoring Models
by: Hurlin, Christophe, et al.
Published: (2022)

Empirical Asset Pricing via Ensemble Gaussian Process Regression
by: Filipović, Damir, et al.
Published: (2022)

A Multi-step Approach for Minimizing Risk in Decentralized Exchanges
by: Di Nosse, Daniele Maria, et al.
Published: (2024)

Enhancing Anomaly Detection in Financial Markets with an LLM-based Multi-Agent Framework
by: Park, Taejin
Published: (2024)

Outperforming a Benchmark with $α$-Bregman Wasserstein divergence
by: Pesenti, Silvana M., et al.
Published: (2026)

Resilience Analysis of Multi-modal Logistics Service Network Through Robust Optimization with Budget-of-Uncertainty
by: Pang, Yaxin, et al.
Published: (2024)

Multi-Scale Network Dynamics and Systemic Risk: A Model Context Protocol Approach to Financial Markets
by: Bhandari, Avishek
Published: (2025)

MANAGING RISKS AND STAKEHOLDERS IN THE DESIGN OF A NEW FINANCIAL PRODUCT
by: Luciano Quinto Lanz
Published: (2016)

Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics
by: Casto, Gabriele
Published: (2025)

Securing Digital Image Assets in Museums and Libraries: A Risk Management Approach.
by: Beamsley, Teresa Grose
Published: (1999)

On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
by: Colaneri, Katia, et al.
Published: (2024)

Worst-case values of target semi-variances with applications to robust portfolio selection
by: Cai, Jun, et al.
Published: (2024)

Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity
by: Kothari, Saumya, et al.
Published: (2024)

Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
by: Lelong, Jérôme, et al.
Published: (2024)

Class of topological portfolios: Are they better than classical portfolios?
by: Goel, Anubha, et al.
Published: (2026)

A semi-parametric dynamic conditional correlation framework for risk forecasting
by: Storti, Giuseppe, et al.
Published: (2022)

Noise-proofing Universal Portfolio Shrinkage
by: Ruelloux, Paul, et al.
Published: (2025)

On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution
by: Cable, Travis, et al.
Published: (2025)

Temperature Anomalies and Climate Physical Risk in Portfolio Construction
by: Azzone, Michele, et al.
Published: (2026)

Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management
by: Lucius, Travon, et al.
Published: (2025)