Image de couverture de livre

Causal analysis of extreme risk in a network of industry portfolios

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Klüppelberg, Claudia, Krali, Mario
Format:	Preprint
Publié:	2025
Sujets:	Risk Management 91G45, 91G70, 62A09, 62G32
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Measuring risk contagion in financial networks with CoVaR
par: Das, Bikramjit, et autres
Publié: (2023)

The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
par: Kashyap, Ravi
Publié: (2024)

Elicitability and identifiability of tail risk measures
par: Fissler, Tobias, et autres
Publié: (2024)

Robust distortion risk metrics and portfolio optimization
par: Liu, Peng, et autres
Publié: (2025)

Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
par: Sarantsev, Andrey, et autres
Publié: (2025)

Coherent estimation of risk measures
par: Aichele, Martin, et autres
Publié: (2025)

Reinforcement Learning for Micro-Level Claims Reserving
par: Avanzi, Benjamin, et autres
Publié: (2026)

Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
par: Avanzi, Benjamin, et autres
Publié: (2023)

The lexical ratio: A new perspective on portfolio diversification
par: Mohseni, Sayyed Faraz, et autres
Publié: (2024)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
par: Tian, Xin
Publié: (2025)

Heavy-tailed max-linear structural equation models in networks with hidden nodes
par: Krali, Mario, et autres
Publié: (2023)

Ensemble distributional forecasting for insurance loss reserving
par: Avanzi, Benjamin, et autres
Publié: (2022)

Distributional Refinement Network: Distributional Forecasting via Deep Learning
par: Avanzi, Benjamin, et autres
Publié: (2024)

Foundations of a Time-Consistent Counterfactual Actuarial Runtime for Autonomous AI Agents
par: Chen, Hao-Hsuan
Publié: (2026)

Causal discovery in heavy-tailed linear structural equation models via scalings
par: Krali, Mario
Publié: (2025)

On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis
par: Avanzi, Benjamin, et autres
Publié: (2023)

Uncertain Regulations, Definite Impacts: The Impact of the US Securities and Exchange Commission's Regulatory Interventions on Crypto Assets
par: Saggu, Aman, et autres
Publié: (2024)

Impact of Climate transition on Credit portfolio's loss with stochastic collateral
par: Sopgoui, Lionel
Publié: (2024)

A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity
par: Imamura, Yuri, et autres
Publié: (2025)

Efficiency versus Robustness under Tail Misspecification: Importance Sampling and Moment-Based VaR Bracketing
par: Aditri
Publié: (2026)

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

A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
par: Crépey, Stéphane, et autres
Publié: (2023)

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
par: Crépey, Stéphane, et autres
Publié: (2024)

Causal tail coefficient for compound extremes in multivariate time series
par: Yin, Cathy, et autres
Publié: (2025)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
par: Liang, Yunqi, et autres
Publié: (2026)

The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol
par: Kashyap, Ravi
Publié: (2024)

Robust distortion risk measures with linear penalty under distribution uncertainty
par: Du, Yuxin, et autres
Publié: (2025)

Some properties of Euler capital allocation
par: Holden, Lars
Publié: (2024)

Can Nash inform capital requirements? Allocating systemic risk measures
par: Ararat, Çağın, et autres
Publié: (2025)

ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets
par: Farzulla, Murad, et autres
Publié: (2026)

Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks
par: Lai, Shanyan
Publié: (2025)

Risk sharing with Lambda value at risk under heterogeneous beliefs
par: Liu, Peng, et autres
Publié: (2024)

Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
par: Crépey, Stéphane, et autres
Publié: (2023)

On data-driven robust distortion risk measures for non-negative risks with partial information
par: Han, Xiangyu, et autres
Publié: (2025)

Set-valued Star-Shaped Risk Measures
par: Nie, Bingchu, et autres
Publié: (2024)

Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
par: Klinge, Jonathan, et autres
Publié: (2026)

Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index
par: Oketunji, Abiodun Finbarrs
Publié: (2025)

On the Separability of Vector-Valued Risk Measures
par: Ararat, Çağın, et autres
Publié: (2024)

Systemic values-at-risk and their sample-average approximations
par: AlAli, Wissam, et autres
Publié: (2024)

Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios
par: Opdyke, JD
Publié: (2025)