first known model risk management framework for Cyber insurance modeling; Develops first known analysis of significant and … extreme model risks, tail risks, and, systemic risk; Develops multi-method empirical study of VaR and Bayesian inference for … containing model risks; Analyzes Markov Chain Monte Carlo for enabling Bayesian inference to minimize model risk; Develops Cyber …

This presentation reconsiders Knight's Risk, Uncertainty, and Profit of 1921 in light of the emergence of the World … Wide Web in early-1990s, Emanuel Derman's pioneering work in Model Risk Management at Goldman Sachs in mid-1990s, backlash … around mid-2013. Based upon review of related financial risk modeling practices and exponentially increasing Cyber era …

identification of "Right Way Risk" (RWR). This approach only works if the stock and commodity price are co-integrated. To set the … picture of credit risk and to structure commodity transactions more rewardingly …

best risk-adjusted portfolio returns. There are some evidences on the significant differences of the portfolios' returns of …

market risk as a liquidity provider in exchange for earning commissions on each trade. Here we analyze the risk profile of a … function determined by the amount of currencies supplied by the liquidity providers. Liquidity providers can be regarded as … investors in the decentralized exchange and earn fixed commissions per trade. They lock up funds in liquidity pools for distinct …

We develop a theory of collateralized debt that emphasizes collateral risk, incentives to acquire information about … effects of an increase in collateral risk …

derivatives trading. Derivatives have been instrumental in managing risk across the world. When used properly they have been found …

Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been … extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the … downside risk measured by VaR and expected returns for decile portfolios sorted according to VaR of each stock. We found that …

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference … to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of …-Bayesian and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …