We introduce a representation theory for risk operations on locally compact groups in a partition of unity on a topological manifold for Markowitz-Tversky-Kahneman (MTK) reference points. We identify (1) risk torsion induced by the flip rate for risk averse and risk seeking behavior, and (2) a...

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long-term dependence" and the "catastrophe propensity"...

A geopolitical incident in the Taiwan Strait would pose two immediate risks to the US economy: (a) potential disruptions to digital flows from vulnerable submarine cables with landing stations in Taiwan and (b) the delay or disruption of container shipments in the Taiwan Strait and nearby waters...

Handling risk factors in the context of a multi-asset risk parity portfolio allocation has created increased interest in recent literature. When allocating along risk factors through principal components, one major problem that persists is the potential existence of leverage or short positions...

Subdiffusive processes can be used in finance to explicitly accommodate the presence of random waiting times between trades or "duration", which in turn allows the modelling of price staleness effects. Option pricing models based on subdiffusions are incomplete, as they naturally account for the...

This article focuses on the computation of VaR and CTE. It provides a very accurate and fast method, based on Fourier analysis and following Boyarchenko and Levendorskii (2000). Once the characteristic function of a marginal law is known, the computation of VaR or CTE is performed using a Fast...