arXiv - QuantFin - Risk Management最新文献_第3页

Infinite-mean models in risk management: Discussions and recent advances 风险管理中的无穷均值模型：讨论与最新进展

arXiv - QuantFin - Risk Management Pub Date : 2024-08-16 DOI: arxiv-2408.08678

Yuyu Chen, Ruodu Wang

引用次数: 0

Systemic values-at-risk and their sample-average approximations 系统风险值及其样本平均近似值

arXiv - QuantFin - Risk Management Pub Date : 2024-08-16 DOI: arxiv-2408.08511

Wissam AlAli, Çağın Ararat

引用次数: 0

The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement 集中风险指标：提高金融稳定性和投资组合绩效衡量标准

arXiv - QuantFin - Risk Management Pub Date : 2024-08-14 DOI: arxiv-2408.07271

Ravi Kashyap

{"title":"The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement","authors":"Ravi Kashyap","doi":"arxiv-2408.07271","DOIUrl":"https://doi.org/arxiv-2408.07271","url":null,"abstract":"We have developed a novel risk management measure called the concentration\u0000risk indicator (CRI). The CRI has been created to address drawbacks with\u0000prevailing methodologies and to supplement existing methods. Modified and\u0000adapted from the Herfindahl-Hirschman (HH) index, the CRI can give a single\u0000numeric score that can be helpful to evaluate the extent of risks that arise\u0000from holding concentrated portfolios. We discuss how the CRI can become an\u0000indicator of financial stability at any desired aggregation unit: regional,\u0000national or international level. We show how the CRI can be easily applied to\u0000insurance risk and to any product portfolio mix. The CRI is particularly\u0000applicable to the current facet of the decentralized terrain, wherein the\u0000majority of the wealth is restricted to a small number of tokens. We calculate\u0000and report the CRI -- along with other risk metrics -- for individual assets\u0000and portfolios of crypto assets using a daily data sample from January 01, 2019\u0000until August 10, 2022. The CRI is an example of developing metrics that can\u0000useful for sending concise yet powerful messages to the relevant audience. This\u0000tactic -- which can be described as marketing the benefits of any product or\u0000service by using concepts from multiple disciplines -- of creating new metrics\u0000goes further beyond the use of metrics to evaluate marketing efficacy. The\u0000simplicity of our metric -- and the intuitive explanations we have provided for\u0000the CRI -- makes it straightforward to properly articulate a strong -- clear\u0000and positive -- signal as part of marketing campaigns. The development -- and\u0000implementation -- of new risk management metrics will have greater impact when\u0000a wider rigorous risk management process has been established. We discuss\u0000several topics related to bringing about more improved risk management across\u0000all types of institutions and assets.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142191325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Reinsurance with neural networks 神经网络再保险

arXiv - QuantFin - Risk Management Pub Date : 2024-08-12 DOI: arxiv-2408.06168

Aleksandar Arandjelović, Julia Eisenberg

引用次数: 0

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk 风险价值的自适应多级随机近似值

arXiv - QuantFin - Risk Management Pub Date : 2024-08-12 DOI: arxiv-2408.06531

Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence

引用次数: 0

Impact of Climate transition on Credit portfolio's loss with stochastic collateral 气候转型对随机抵押品信贷组合损失的影响

arXiv - QuantFin - Risk Management Pub Date : 2024-08-12 DOI: arxiv-2408.13266

Lionel Sopgoui

{"title":"Impact of Climate transition on Credit portfolio's loss with stochastic collateral","authors":"Lionel Sopgoui","doi":"arxiv-2408.13266","DOIUrl":"https://doi.org/arxiv-2408.13266","url":null,"abstract":"We propose models to quantify the distortion the credit portfolio (expected\u0000and unexpected) losses, when the obligor companies as well as their guarantees\u0000belong to an economy subject to the climate transition. The economy's\u0000productivity is modeled as a multidimensional Ornstein-Uhlenbeck (O.-U.)\u0000process while the climate transition is represented by a continuous\u0000deterministic carbon price process. We define each loan's loss at default as\u0000the difference between Exposure at Default (EAD) and the liquidated collateral,\u0000which will help us to define the Loss Given Default (LGD). We consider two\u0000types of collateral: financial asset (such as invoices, cash, or investments)\u0000or physical asset (such as real estate, business equipment, or inventory). For\u0000financial assets, we model them by the continuous time version of the\u0000discounted cash flows methodology, where the cash flows SDE is driven by the\u0000instantaneous output growth, the instantaneous growth of a carbon price\u0000function, and an arithmetic Brownian motion. For physical assets, we focus on\u0000property in the housing market. We define, as Sopgoui (2024), their value as\u0000the difference between the price of an equivalent efficient building following\u0000an exponential O.-U. as well as the actualized renovation costs and the\u0000actualized sum of the future additional energy costs due to the inefficiency of\u0000the building, before an optimal renovation date which depends on the carbon\u0000price process. Finally, we obtain how the loss' risk measures of a credit\u0000portfolio are skewed in the context of climate transition through carbon price\u0000and/or energy performance of buildings when both the obligors and their\u0000guarantees are affected. This work provides a methodology to calculate the\u0000(statistics of the) loss of a portfolio of secured loans, starting from a given\u0000climate transition scenario described by a carbon price.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"45 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142191328","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Risk sharing with Lambda value at risk under heterogeneous beliefs 在异质信念条件下利用 Lambda 风险值分担风险

arXiv - QuantFin - Risk Management Pub Date : 2024-08-06 DOI: arxiv-2408.03147

Peng Liu, Andreas Tsanakas, Yunran Wei

引用次数: 0

An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models 有效蒙特卡罗估计黑盒模型失真风险度量的重要度采样和机器学习综合方法

arXiv - QuantFin - Risk Management Pub Date : 2024-08-05 DOI: arxiv-2408.02401

Sören Bettels, Stefan Weber

引用次数: 0

Climate-Driven Doubling of Maize Loss Probability in U.S. Crop Insurance: Spatiotemporal Prediction and Possible Policy Responses 气候导致美国农作物保险中玉米损失概率翻倍：时空预测与可能的对策

arXiv - QuantFin - Risk Management Pub Date : 2024-08-05 DOI: arxiv-2408.02217

A Samuel Pottinger, Lawson Connor, Brookie Guzder-Williams, Maya Weltman-Fahs, Timothy Bowles

{"title":"Climate-Driven Doubling of Maize Loss Probability in U.S. Crop Insurance: Spatiotemporal Prediction and Possible Policy Responses","authors":"A Samuel Pottinger, Lawson Connor, Brookie Guzder-Williams, Maya Weltman-Fahs, Timothy Bowles","doi":"arxiv-2408.02217","DOIUrl":"https://doi.org/arxiv-2408.02217","url":null,"abstract":"Climate change not only threatens agricultural producers but also strains\u0000financial institutions. These important food system actors include government\u0000entities tasked with both insuring grower livelihoods and supporting response\u0000to continued global warming. We use an artificial neural network to predict\u0000future maize yields in the U.S. Corn Belt, finding alarming changes to\u0000institutional risk exposure within the Federal Crop Insurance Program.\u0000Specifically, our machine learning method anticipates more frequent and more\u0000severe yield losses that would result in the annual probability of Yield\u0000Protection (YP) claims to more than double at mid-century relative to\u0000simulations without continued climate change. Furthermore, our dual finding of\u0000relatively unchanged average yields paired with decreasing yield stability\u0000reveals targeted opportunities to adjust coverage formulas to include\u0000variability. This important structural shift may help regulators support grower\u0000adaptation to continued climate change by recognizing the value of\u0000risk-reducing strategies such as regenerative agriculture. Altogether, paired\u0000with open source interactive tools for deeper investigation, our risk profile\u0000simulations fill an actionable gap in current understanding, bridging granular\u0000historic yield estimation and climate-informed prediction of future\u0000insurer-relevant loss.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"32 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141941156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

How much should you pay for restaking security? 重塑安全系统需要支付多少费用？

arXiv - QuantFin - Risk Management Pub Date : 2024-08-01 DOI: arxiv-2408.00928

Tarun Chitra, Mallesh Pai

引用次数: 0