Risk is part of the fabric of every business; surprisingly, there is little work on establishing best practices for systematic, repeatable risk identification, arguably the first step of any risk management process. In this paper, we present a proposal that constitutes a more holistic risk management approach, a method…
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48 results for “risk identification”
New methods identify and score systemic risk measures accurately.
problem Identifying and scoring systemic risk measures accurately.
method Constructing oriented selective identification functions to induce a mixture representation of strictly consistent scoring functions.
result Demonstrated the applicability of the constructed functions through a comprehensive simulation study.
Study on risk networks to improve risk identification and classification.
problem Biases in risk network generation limit risk management models.
method Alternative methodology for generating weighted risk networks.
result Observed modular topology as a robust risk classification framework.
Unified bounds for DP risks reduce noise and improve accuracy.
problem Difficult interpretation and calibration of DP mechanisms.
method Hypothesis-testing interpretation of DP (-DP) and unified bounds.
result Unified bounds are tighter and tunable for specific risks.
Non-spanning identification of scheduled event risk in option pricing.
problem Separating continuous surface from scheduled jump in option pricing.
method Modeling FOMC decisions, CPI releases, and NFP reports as deterministic-time jumps in risk-neutral option pricing.
result Improves held-out event-spanning pricing with Gaussian and two-component mixture jumps.
This paper addresses the identification of insurance models with multidimensional screening where insurees have private information about their risk and risk aversion. The model includes a random damage and the possibility of several claims. Screening of insurees relies on their certainty equivalence. The paper then in…
GNN improves financial risk detection in dynamic networks.
problem Complex, changing financial networks make traditional risk identification methods ineffective.
method Graph Neural Networks (GNN) for embedded representation learning of financial data.
result GNN enhances the detection of hidden risks and abnormal behaviors in financial networks.
Emputation learns imputation models guided by missingness assumptions.
problem Learning imputation models for missing data given observed data.
method Guided by specific missingness assumptions, Emputation trains a deep generative model to learn the extrapolation distribution of missing variables.
result The population minimizer of the emputation risk recovers the target extrapolation distribution under various identification assumptions.
Unified method for learning from selectively labeled data.
problem Classification with selectively labeled data from multiple decision-makers.
method Unified cost-sensitive learning (UCL) approach.
result Unified method for robust classification in selective labeling.
New algorithms for best arm identification in bandits robust to misspecified parameters.
problem Inconsistent learning performance of traditional MAB algorithms when parameters are misspecified.
method Proposes two classes of asymptotically near-optimal algorithms for statistically robust MAB under fixed-budget pure exploration.
result Establishes fundamental performance limits and proposes algorithms that are asymptotically near-optimal.
Paper proposes a new PLL framework with a progressive identification algorithm.
problem Weakly supervised learning with partial labels.
method Flexible model and optimization algorithm for PLL, progressive identification algorithm.
result Established an estimation error bound and set new state of the art.
New algorithm identifies best arm with optimal budget usage.
problem Identifying the arm with the highest mean reward from multiple options.
method Proposes Almost Tracking, a closed-form algorithm for anytime best arm identification.
result Proven to be rate-optimal and outperforms existing algorithms.
Review of automatic de-identification systems for EHR, highlighting challenges beyond accuracy.
problem Challenges in surrogate generation and patient privacy in de-identification of EHR.
method Comprehensive review of 18 recently published systems, focusing on accuracy and challenges.
result Despite accuracy improvements, challenges remain in surrogate generation and patient privacy.
Vault as a credit instrumentq-fin.RM
Derives metrics for DeFi vaults, addressing credit risk.
problem Credit risk in DeFi lending vaults.
method Three-level decomposition of vault risk; six structural features identified.
result Estimation architecture for credit risk metrics.
This study identifies financial risk paths in digital-transformed enterprises.
problem Identifying financial risks in digital-transformed enterprises.
method DEMATEL-ISM-MICMAC method.
result Political and economic environment affects enterprise's financial structure.
Bayesian methods reduce variance in subspace identification for small data sets.
problem High variance in traditional subspace identification methods for large models or small sample sizes.
method Investigation of Bayesian estimation solutions (regularized and shrinkage estimators) for subspace identification.
result Bayesian estimators reduce estimation risk by up to 40% compared to traditional methods.
New method targets relative risk heterogeneity in clinical trials.
problem Identifying treatment effects across subgroups with absolute risk differences.
method Modified causal forests using a novel node-splitting procedure based on relative risk.
result Relative risk causal forests can capture heterogeneity not detected by absolute risk methods.
Survey on risk-aware multi-armed bandits for better decision-making.
problem Risk measures in multi-armed bandits for better decision-making.
method Review of existing research, definition of risk-aware bandit problems, and algorithms for minimizing regret and identifying best arms.
result Consolidation and summarization of existing research on risk measures in multi-armed bandits.
AI-driven framework improves enterprise financial audits and risk identification.
problem Manual auditing is inefficient and limited by data complexity and evolving fraud tactics.
method Machine learning algorithms (SVM, RF, KNN) applied to a dataset of audit project counts, violations, and fraud instances.
result Random Forest achieves best performance with F1-score of 0.9012, identifying fraud and compliance anomalies.
Optimal algorithm identifies best arm for risk measures in heavy-tailed distributions.
problem Identifying the arm with smallest CVaR, VaR, or weighted sum of CVaR and mean from heavy-tailed distributions.
method Multi-armed bandit best-arm identification framework, solving non-convex optimization problem.
result Optimal δ-correct algorithm with matching lower bound on expected samples.
Improved sample complexity for identifying best policies in risk-sensitive reinforcement learning.
problem Identifying approximately optimal policies in risk-sensitive reinforcement learning with exponential horizon dependence.
method Forward-model based algorithm with KL-based exploration bonuses adapted for entropic criterion, leveraging smoothness properties of exponential utility and a new stopping rule.
result Achieved sample complexity matching the lower bound, closing the gap between upper and lower bounds.
New algorithms optimize risk-aware selection in uncertain rewards.
problem Balancing expected reward and risk in uncertain, potentially heavy-tailed rewards.
method Distribution oblivious algorithms that consider CVaR, not bound on moments/tails.
result Provable upper bounds on incorrect identification probability.
Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes using their local and occupation times. By almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbed…
A framework identifies worst-case decision points in safety-critical scenarios, improving risk assessment by 10 hours.
problem Identifying worst-case outcomes in safety-critical decision-making under uncertainty.
method Explicitly estimating distributions of expected return to identify dead-ends, tuning based on risk tolerance.
result Significantly improves risk assessment, providing indications 10 hours earlier and increasing detection by 20%.
Bayesian SVARs improve model construction and policy analysis in big data.
problem Manual selection of variables in SVAR models limits their applicability in big data.
method Develops a Bayesian methodology for constructing information sets and retaining the largest system.
result Output increases with housing production over household credit in SVAR models.
Study identifies risk factors for subsequent suicide attempts in youth.
problem Uncertainty in suicide attempt identification from medical claims data.
method Integrative Cox cure model with regularization for survival analysis with uncertain events.
result Identifies risk factors for subsequent suicide attempts and distinguishes susceptibility from timing.
Comment on deconfounder method, highlighting causal identification issues and risks of parametric assumptions.
problem Causal identification issues in settings where deconfounder method is suggested.
method Summarizing arguments against causal identification, cautioning on parametric assumptions, and discussing nonparametric identification results.
result Nonparametric identification results may be more interesting for detecting causal identification from observed data.
System identifies health risks using semantic and machine learning.
problem Identifying risk factors associated with health conditions in subpopulations.
method Developed a combined semantic and machine learning system using a health risk ontology and knowledge graph.
result Dynamic discovery of risk factors and their subpopulations.
The paper analyzes risk estimation methods and derives bounds for OCE risk.
problem Estimating the Optimized Certainty Equivalent (OCE) risk from samples.
method Derives mean-squared error and concentration bounds for SAA of OCE, and analyzes an efficient stochastic approximation-based estimator.
result Finite sample bounds and mis-identification probability bounds for the efficient estimator.
New method balances performance and cost in identifying best arm.
problem Identifying the best arm in multi-armed bandit models.
method Minimizes a risk functional that balances performance and cost.
result Proposes DBCARE algorithm that matches theoretical lower bounds.
This study uses NLP to detect financial risks from documents.
problem Detecting and predicting financial risks in documents.
method NLP model design, text preprocessing, feature extraction, machine learning.
result NLP model effectively identifies and predicts financial risks.
Cluster analysis of credit card accounts helps assess risk levels.
problem Assessing risk levels for credit accounts.
method Parametric modelling of account behavior, behavioral cluster analysis with a new dissimilarity measure.
result Interesting clusters and superior prediction of account default.
Challenge hides and seeks privacy in clinical time-series data.
problem De-identifying clinical time-series data while preserving utility and privacy.
method Synthetic data generation to preserve temporal dynamics and limit re-identification risk.
result A novel competition tracks synthetic data generation and patient re-identification.
Utilizing Effective Dynamic Graph Learning to Shield Financial Stability from Risk Propagationq-fin.RM
GraphShield uses dynamic graph learning to detect and visualize financial risks.
problem Detecting and mitigating risks in financial networks.
method Enhanced Cross-Domain Information Learning, Advanced Risk Recognition, Risk Propagation Visualization.
result GraphShield effectively identifies and visualizes hidden financial risks.
Paper develops a novel approach to identify clusters of features in multivariate extremes.
problem Understanding the complex structure of multivariate extremes in various fields.
method Optimization-based approach to assess the dependence structure of extremes.
result Estimating clusters of features that best capture the support of extremes.
New method identifies parameters of wider shallow neural networks with biases.
problem Identifying parameters of wide shallow neural networks with biases from finite samples.
method Two-step pipeline: direction of weights via second order information, signs via algebraic evaluations, biases via gradient descent.
result Constructive methods and theoretical guarantees of finite sample identification for wider shallow networks with biases.
Study quantifies systemic risk in DeFi using network analysis.
problem Systemic risk in decentralized finance (DeFi) ecosystem.
method Network-based fragility analysis of TVL dynamics.
result Developed CFI and RCS to quantify structural fragility and risk contribution.
The paper examines how distortion principles affect insurance pricing under risk aversion and ambiguity.
problem Understanding how risk aversion and ambiguity impact insurance pricing.
method Investigates sensitivity of distortion functionals to risk aversion and ambiguity, using Wasserstein distance.
result Identifies worst-case distributions and methods to identify distortion densities.
Paper proposes a new model to measure common risk factors using quantile regression.
problem Measuring common market risk factors among financial assets.
method Panel Quantile Regression Model for Returns with penalized fixed effects estimator.
result The proposed model outperforms other models in Value-at-Risk forecasting, especially in the 5% and 10% quantiles.
VA-LUCB identifies best arm with variance constraint, achieving optimal sample complexity.
problem Identifying the best arm with variance constraint under fixed confidence.
method Parameter-free algorithm VA-LUCB, analyzing sample complexity and proving lower bounds.
result Optimal sample complexity up to a logarithmic factor in , demonstrated by experiments.
Functional Banditsstat.ML
We introduce the functional bandit problem, where the objective is to find an arm that optimises a known functional of the unknown arm-reward distributions. These problems arise in many settings such as maximum entropy methods in natural language processing, and risk-averse decision-making, but current best-arm identif…
Projective DP-SGD reduces privacy error by identifying low-dimensional gradient subspaces.
problem Differentially private SGD's error rate scales with model's dimensionality, problematic for over-parameterized models.
method Projective DP-SGD, projecting noisy gradients to a low-dimensional subspace identified from a public dataset.
result The method reduces the dependence on model dimensionality, improving accuracy in high privacy regimes.
Study quantile reward identification with 1-bit feedback constraints.
problem Best arm identification with quantile reward and 1-bit communication.
method Proposes an algorithm using noisy binary search for quantile reward estimation.
result Derives upper and lower bounds on sample complexity for 1-bit feedback.
E-backtestingq-fin.RM
A new method for backtesting ES forecasts in banking.
problem Designing a model-free backtesting procedure for Expected Shortfall forecasts.
method Use e-values and e-processes to introduce backtest e-statistics for VaR and ES.
result The proposed method can be applied to various risk measures and statistical quantities.
Safe Reinforcement Learning-Based Vibration Control: Overcoming Training Risks with LQR Guidancecs.LG
Safe RL-based vibration control using LQR guidance.
problem Training risks in RL-based vibration control.
method Hybrid control framework combining LQR and RL.
result LQR controller outperforms uncontrolled scenario.
Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributionscs.LG
The paper derives CVaR concentration bounds for light-tailed and heavy-tailed distributions.
problem Estimating CVaR for light-tailed and heavy-tailed distributions.
method Derives concentration bounds for CVaR using empirical and truncation-based estimators.
result Concentration bounds with exponential decay in sample size for both light-tailed and heavy-tailed distributions.
This paper analyzes the stability and generalization of triplet learning algorithms.
problem Lack of theoretical understanding of triplet learning's generalization performance.
method Stability analysis and high-probability generalization bounds for triplet learning algorithms.
result Established general high-probability generalization bound for triplet learning algorithms.
Models predict patients at risk of uncontrolled hypertension.
problem Identifying patients at risk of uncontrolled hypertension.
method Developed machine learning models (logistic regression and recurrent neural networks) using EHR data.
result Best model achieved AUROC of 0.719, outperforming baseline.