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.
The paper uses LSM to solve complex monetary utility functions.
The paper studies dynamic star-shaped risk measures and their representation.
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a process of financial values …
In this paper we analyze a dynamic recursive extension of the (static) notion of a deviation measure and its properties. We study distribution invariant deviation measures and show that the only dynamic deviation measure which is law invariant and recursive is the variance. We also solve the problem of optimal risk-sha…
The paper explores non-convex risk measures and their characterizations.
This paper connects monetary and star-shaped risk measures by showing their equivalence under certain conditions.
Framework for quantifying uncertainty in dynamic processes.
Study dynamic Pareto-optimal allocations in multi-period economies with time-consistent risk measures.
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal ways to construct risk measures are given and extensions to more general situations…
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representat…
Study on efficiency in economies with risk-averse agents, finding Pareto optima.
Dynamic risk measures follow law invariance principles over time.
Geometrically convex return risk measures on AM-algebras
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal prediction, where at each stage the recursion depends on the whole future. The propert…
Develops a new method for risk diversification using dynamic risk measures.
Simple conditions for comonotonic additive risk measures from acceptance sets.
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be made in a basket of currencies or assets. Time consistency of scalar risk measu…
In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main results of this paper on time consistency; namely, an equivalent recursive form…
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In …
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set. Intrin…
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of -modules. In the first p…
The paper studies risk-sensitive MDPs with recursive risk measures.
Dynamic reinsurance minimizes insurer's cost of capital over time.
The paper studies optimal investment using acceptability indices to maximize portfolio performance.
The paper models and prices cyber insurance risks, distinguishing idiosyncratic, systematic, and systemic risks.
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and is referred to as the dynamic Markowitz problem (when the risk is measured by variance) or more generally, the dynamic mean-risk problem. I…
Investigates Meyer risk measures and their applications in finance.
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cite{detlef-scandolo} and inspired by their result, we give a dual representation of dynamic cash-subadditive convex risk measures (that can al…
Paper introduces quasi-logconvex risk measures and their properties.
New set-valued star-shaped risk measures introduced for better risk assessment.
We consider the problem of decomposing monetary risk in the presence of a fully traded market in {\it some} risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the sense of Delbaen.
New risk measures for financial and ESG risks using utility functions.
Deep RL solves dynamic risk pricing for complex financial models.
Paper characterizes star-shaped risk measures and their properties.
Study risk-sensitive reinforcement learning with entropic risk measures and generative models.
This study shows how monetary uncertainty affects stock market reactions to macroeconomic news.
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary reserves of the banks as functions of time. The banking system model considered gen…
New algorithm minimizes Bayesian regret in offline linear bandits.
Paper estimates the order of vertices in random recursive trees.
Study develops hybrid model to mitigate stablecoin liquidity risk.
Paper introduces new risk measures for default risk and model uncertainty.
Develops risk measures on Lipschitz spaces for financial positions.
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between different processes is presented; the efforts made by the bank to avoid the occurr…
Paper presents a neural network method for efficient xVA computation and risk management.
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the guaranteed level, a third party will refund the investor up to the guarantee. In ex…
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for assets with transaction costs or illiquidity and possible trading constraints are considered on a finite probability space. The set of capital requirements at each time and state is c…
Study on time-varying APT validity in Japanese stock market.
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary economy. The nominal pricing kernel is at any given time assumed to be given by …