Fundaments of classification lie on the interdependences between the features and the labels to classify. For social parameters, this relationships are difficult to model and measure. In this paper, a way of obtaining a social indicator using sentiment analysis in Twitter is explained. With the...

To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...

This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables. Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is...

A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical provisioning view, toward a more adequate capital...

This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the problem of allocating a fixed amount of cash among the...

This study compares a broad range of risk models for managing multi-asset portfolios. The investment universe is extended to a range of systematic strategies with varying risk and return profiles. Focusing on risk parity portfolios, it is shown that considering tail risks can successfully reduce...

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"...

We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact...

Instruments for an alternative approach to risk management in internal control systems under revolutionary changes in an organization's development are presented in this paper. The functions and application of instruments for the identification and measurement of the threats to the organization...

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...