A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study systemic risk measures and capital allocation rules, showing commonalities.
We formulate banks' capital optimization problem as a classic mean variance optimization, by leveraging an accurate linear approximation to the Shapely or Constrained Aumann-Shapley (CAS) allocation of max or nested max cost functions. This reduced form formulation admits an analytical solution, to the optimal leverage…
We introduce Generalized Integrated Gradients (GIG), a formal extension of the Integrated Gradients (IG) (Sundararajan et al., 2017) method for attributing credit to the input variables of a predictive model. GIG improves IG by explaining a broader variety of functions that arise from practical applications of ML in do…
The study compares different game-theoretic attribution methods and finds that interventional Shapley values yield less consistent results than Aumann-Shapley due to path symmetry.
Study on risk contributions of portfolios using lambda quantile risk measures.