Saved in:
| Main Authors: | Klüppelberg, Claudia, Krali, Mario |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2504.00523 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)
by: Das, Bikramjit, et al.
Published: (2023)
The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
by: Kashyap, Ravi
Published: (2024)
by: Kashyap, Ravi
Published: (2024)
Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024)
by: Fissler, Tobias, et al.
Published: (2024)
Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025)
by: Sarantsev, Andrey, et al.
Published: (2025)
Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)
by: Aichele, Martin, et al.
Published: (2025)
The lexical ratio: A new perspective on portfolio diversification
by: Mohseni, Sayyed Faraz, et al.
Published: (2024)
by: Mohseni, Sayyed Faraz, et al.
Published: (2024)
Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)
by: Avanzi, Benjamin, et al.
Published: (2026)
Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)
by: Tian, Xin
Published: (2025)
Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
by: Avanzi, Benjamin, et al.
Published: (2023)
by: Avanzi, Benjamin, et al.
Published: (2023)
Robust distortion risk metrics and portfolio optimization
by: Liu, Peng, et al.
Published: (2025)
by: Liu, Peng, et al.
Published: (2025)
Ensemble distributional forecasting for insurance loss reserving
by: Avanzi, Benjamin, et al.
Published: (2022)
by: Avanzi, Benjamin, et al.
Published: (2022)
Heavy-tailed max-linear structural equation models in networks with hidden nodes
by: Krali, Mario, et al.
Published: (2023)
by: Krali, Mario, et al.
Published: (2023)
Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)
by: Avanzi, Benjamin, et al.
Published: (2024)
Uncertain Regulations, Definite Impacts: The Impact of the US Securities and Exchange Commission's Regulatory Interventions on Crypto Assets
by: Saggu, Aman, et al.
Published: (2024)
by: Saggu, Aman, et al.
Published: (2024)
Foundations of a Time-Consistent Counterfactual Actuarial Runtime for Autonomous AI Agents
by: Chen, Hao-Hsuan
Published: (2026)
by: Chen, Hao-Hsuan
Published: (2026)
On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis
by: Avanzi, Benjamin, et al.
Published: (2023)
by: Avanzi, Benjamin, et al.
Published: (2023)
The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol
by: Kashyap, Ravi
Published: (2024)
by: Kashyap, Ravi
Published: (2024)
Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics
by: Casto, Gabriele
Published: (2025)
by: Casto, Gabriele
Published: (2025)
A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity
by: Imamura, Yuri, et al.
Published: (2025)
by: Imamura, Yuri, et al.
Published: (2025)
Efficiency versus Robustness under Tail Misspecification: Importance Sampling and Moment-Based VaR Bracketing
by: Aditri
Published: (2026)
by: Aditri
Published: (2026)
Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)
by: Liang, Yunqi, et al.
Published: (2026)
A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
by: Crépey, Stéphane, et al.
Published: (2023)
by: Crépey, Stéphane, et al.
Published: (2023)
Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
by: Crépey, Stéphane, et al.
Published: (2024)
by: Crépey, Stéphane, et al.
Published: (2024)
Causal discovery in heavy-tailed linear structural equation models via scalings
by: Krali, Mario
Published: (2025)
by: Krali, Mario
Published: (2025)
Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)
by: Sopgoui, Lionel
Published: (2024)
ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets
by: Farzulla, Murad, et al.
Published: (2026)
by: Farzulla, Murad, et al.
Published: (2026)
Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks
by: Lai, Shanyan
Published: (2025)
by: Lai, Shanyan
Published: (2025)
Can Nash inform capital requirements? Allocating systemic risk measures
by: Ararat, Çağın, et al.
Published: (2025)
by: Ararat, Çağın, et al.
Published: (2025)
Causal tail coefficient for compound extremes in multivariate time series
by: Yin, Cathy, et al.
Published: (2025)
by: Yin, Cathy, et al.
Published: (2025)
Some properties of Euler capital allocation
by: Holden, Lars
Published: (2024)
by: Holden, Lars
Published: (2024)
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
by: Crépey, Stéphane, et al.
Published: (2023)
by: Crépey, Stéphane, et al.
Published: (2023)
Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index
by: Oketunji, Abiodun Finbarrs
Published: (2025)
by: Oketunji, Abiodun Finbarrs
Published: (2025)
Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios
by: Opdyke, JD
Published: (2025)
by: Opdyke, JD
Published: (2025)
Robust distortion risk measures with linear penalty under distribution uncertainty
by: Du, Yuxin, et al.
Published: (2025)
by: Du, Yuxin, et al.
Published: (2025)
On the Separability of Vector-Valued Risk Measures
by: Ararat, Çağın, et al.
Published: (2024)
by: Ararat, Çağın, et al.
Published: (2024)
Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
by: Klinge, Jonathan, et al.
Published: (2026)
by: Klinge, Jonathan, et al.
Published: (2026)
A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
by: Nendel, Max, et al.
Published: (2022)
by: Nendel, Max, et al.
Published: (2022)
Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
by: Flores-Silva, Daniela I., et al.
Published: (2025)
by: Flores-Silva, Daniela I., et al.
Published: (2025)
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)
by: Deng, Fengnan, et al.
Published: (2025)
Systemic values-at-risk and their sample-average approximations
by: AlAli, Wissam, et al.
Published: (2024)
by: AlAli, Wissam, et al.
Published: (2024)
Similar Items
-
Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023) -
The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
by: Kashyap, Ravi
Published: (2024) -
Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024) -
Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025) -
Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)