In this paper we will give for the first time a formal mathematical language to the steps used currently by financial institutions when calculating the impact of a stress scenario on a balance sheet that depends on more granular or different factors than those provided in the scenario. We will...

We propose a method to integrate frequentist and subjective probabilities in order to obtain a coherent asset allocation in the presence of stress events. Our working assumption is that in normal market asset returns are sufficiently regular for frequentist statistical techniques to identify...

We propose a method to integrate frequentist and subjective probabilities in order to obtain a coherent asset allocation in the presence of stress events. Our working assumption is that in normal market asset returns are sufficiently regular for frequentist statistical techniques to identify...

Missing data is a problem appearing ubiquitously across many fields and needs to be dealt with systematically. For multivariate time series data imputation can be a challenging problem. We consider the particular case of credit default swap time series, where missing data can pose a considerable...

In this paper, we will aim to show the application of Bayesian Nets to the study of a major political event and its consequences. The selected event is the Scottish Independence Referendum in 2014. The power of Bayesian Nets allows to extend the cognitive depth of the analysis compared to what...

We show how to execute a macro-hedge on a portfolio that depends on several risk factors in a one period static context. We show, by applying a orthogonalization procedure, that adding a hedging instrument with just one underlying reduces the risk of the portfolio along several dimensions but up...

Financial networks' study and understanding has become extremely important since the global financial meltdown in 2007-2009 when the inter-connectedness of institutions has surfaced as one of the major culprits for the magnitude of the distress. This paper aims at providing a new approach, based...