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.
Optimizes risk assessment tools using mixed-integer programming.
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different risk categories as well …
Study examines cyber losses across sectors, finds high severity and frequency.
One of the main open problems in the theory of multi-category margin classification is the form of the optimal dependency of a guaranteed risk on the number C of categories, the sample size m and the margin parameter gamma. From a practical point of view, the theoretical analysis of generalization performance contribut…
Study evaluates risk in options using volatility surface projections.
Research identifies risks in selecting project managers for civil engineering projects.
We present a framework to derive risk bounds for vector-valued learning with a broad class of feature maps and loss functions. Multi-task learning and one-vs-all multi-category learning are treated as examples. We discuss in detail vector-valued functions with one hidden layer, and demonstrate that the conditions under…
Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link between the number of ris…
The study analyzes how cross-chain interoperability affects decentralized lending protocols' performance.
Paper presents a risk management framework for blockchain protocols.
This paper improves operational risk modeling by selecting better loss severity distributions.
Study analyzes crypto asset risk exposures using a divide-and-conquer approach.
Paper analyzes systematic jump risk around the clock using news narratives.
Study tests uniformity of categorical data against missing-ball alternatives, finding chi-squared test outperforms.
Transfer learning improves portfolio optimization by identifying transfer risk.
Study combines quantum and classical deep learning for better credit risk assessment.
Study quantifies systemic risk in DeFi using network analysis.
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the ceding insurer. RCCR is an important risk category for insurance companies which, so far, has been addressed mostly via qualitative approaches. …
This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for investigating the behaviour of the demographic variable "new entrants" and the influenc…
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted in exposure to new risks ve…
A new framework integrates credit scoring into profit scoring for better P2P lending investments.
The paper analyzes Indian stock sectors using multifractal analysis for long and short-term investment.
Study examines Indian equity mutual funds' investment style and risk-shifting.
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One "stylized fact" is fundamental for our considerati…
Study on cyber insurance viability using statistical models.
Modeling vessel speed to balance efficiency and environmental risks in Arctic shipping.
Machine learning algorithms increasingly influence our decisions and interact with us in all parts of our daily lives. Therefore, just as we consider the safety of power plants, highways, and a variety of other engineered socio-technical systems, we must also take into account the safety of systems involving machine le…
Studies amenable category's monotonicity and its relation to topological complexity.
To each oriented surface S, we associate a differential graded category Ko(S). The homotopy category Ho(Ko(S)) is a triangulated category which satisfies properties akin to those of the contact categories studied by K. Honda. These categories are also related to the algebraic contact categories of Y. Tian and to the bo…
Study shows social media impacts shareholder returns on ESG risks.
Formulates a new connection between topological and geometric categories.
Classifies financial risk into three levels based on first passage times.
We continue the program of structural differential geometry that begins with the notion of a tangent category, an axiomatization of structural aspects of the tangent functor on the category of smooth manifolds. In classical geometry, having an affine structure on a manifold is equivalent to having a flat torsion-free c…
We introduce semisimple 2-categories, fusion 2-categories, and spherical fusion 2-categories. For each spherical fusion 2-category, we construct a state-sum invariant of oriented singular piecewise-linear 4-manifolds.
Recent work shows GRW approaches do not improve over ERM in distributional shift.
The paper defines new TQFTs from non-semisimple categories and proves spherical categories are chromatic.
Spider category comparison proves equivalence to Sikora's quotient category.
We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \c{hi} to the category of probability spaces Prob introduced in [Adachi and Ryu, 2016].
ETQFTs created from non-semisimple modular categories.
Paper identifies a shared toolkit of strategies for risk management across fields.
Studies modules over a category of Jacobi diagrams in handlebodies.
We compare various different definitions of "the category of smooth objects". The definitions compared are due to Chen, Frölicher, Sikorski, Smith, and Souriau. The method of comparison is to construct functors between the categories that enable us to see how the categories relate to each other. This produces a diagram…
GD outperforms ridge regression and SGD in linear regression problems.
We define a symmetric monoidal (4,3)-category with duals whose objects are certain enriched multi-fusion categories. For every modular tensor category , there is a self enriched multi-fusion category giving rise to an object of this symmetric monoidal (4,3)-category. We conjecture that the e…
We show that once-extended anomalous 3-dimensional topological quantum field theories valued in the 2-category of k-linear categories are in canonical bijection with modular tensor categories equipped with a square root of the global dimension in each factor.
This is the second in a series of papers intended to set up a framework to study categories of modules in the context of non-commutative geometries. In \cite{mem} we introduced the basic DG category $\Pc_{\A^\bullet}$, the perfect category of $\A^\bullet$, which corresponded to the category of coherent sheaves on a com…
New 4-manifold invariant defined from trisection diagrams.
We study the transverse Lusternik-Schnirelmann category of a Riemannian foliation on a compact manifold. We obtain a necessary and sufficient condition when the transverse LS category is finite. We also introduce a variation on the concept of transverse LS category, the essential transverse category, and show that this…