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33

Nov 9, 2012
11/12

by
Eakins, Stanley G

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Includes index

Topics: Finance, Finance, Financieel management

0
0.0

Jun 30, 2018
06/18

by
Rongju Zhang; Nicolas Langrené; Yu Tian; Zili Zhu; Fima Klebaner; Kais Hamza

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A family of sharp target range strategies is presented for portfolio selection problems. Our proposed strategy maximizes the expected portfolio value within a target range, composed of a conservative lower target representing capital guarantee and a desired upper target representing investment goal. This strategy favorably shapes the entire probability distribution of return, as it simultaneously seeks a high expected return, cuts off downside risk, and implicitly caps volatility, skewness and...

Topics: Computational Finance, Portfolio Management, General Finance, Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1704.00416

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132

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finance management

Topic: finance management

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16

Aug 24, 2011
08/11

by
Brigham, Eugene F., 1930-

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xxix, 843, [70] pages : 26 cm

Topics: Corporations -- Finance, Corporations -- Finance. -- Management, Corporations -- Finance

0
0.0

Jun 30, 2018
06/18

by
Masaaki Fujii; Akihiko Takahashi

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All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the occurrences of...

Topics: Portfolio Management, Quantitative Finance, Risk Management, Computational Finance

Source: http://arxiv.org/abs/1401.2314

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3.0

Jun 28, 2018
06/18

by
Enrico G. De Giorgi; Ola Mahmoud

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Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von-Neumann-Morgenstern expected utility model, but the equivalence fails to hold in other models. This paper studies axiomatizations of the concept of diversification and their relationship to the...

Topics: Economics, Quantitative Finance, Mathematical Finance, Risk Management, Portfolio Management

Source: http://arxiv.org/abs/1507.02025

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2.0

Jun 28, 2018
06/18

by
Bahman Angoshtari; Erhan Bayraktar; Virginia R. Young

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We determine the optimal amount to invest in a Black-Scholes financial market for an individual who consumes at a rate equal to a constant proportion of her wealth and who wishes to minimize the expected time that her wealth spends in drawdown during her lifetime. Drawdown occurs when wealth is less than some fixed proportion of maximum wealth. We compare the optimal investment strategy with those for three related goal-seeking problems and learn that the individual is myopic in her investing...

Topics: Quantitative Finance, Mathematical Finance, Risk Management, Portfolio Management

Source: http://arxiv.org/abs/1508.01914

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13

Feb 23, 2018
02/18

by
Wright, M. G. (Maurice Gordon)

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Includes bibliographical references (pages 284-285)

Topics: Finance, Corporations, Corporations, Finance, Finanzwirtschaft, Management, Finanzwirtschaft,...

4
4.0

Jan 27, 2018
01/18

by
Nohilly, Eamonn

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Includes bibliographical references (pages 259-260) and index

Topics: Portfolio management, Finance, Personal, Finance, Personal, Portfolio management

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28

Oct 27, 2018
10/18

by
Tanous, Peter J

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vii, 232 pages : 23 cm

Topics: Investments, Portfolio management, Personal finance, Portfolio management, Investments, Personal...

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19

Feb 1, 2012
02/12

by
Cordes, Ron, 1959-; O'Toole, Brian, 1958-; Steiny, Richard

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Includes index

Topics: Finance, Personal, Investments, Portfolio management, Finance, Personal, Investments, Portfolio...

1
1.0

Jun 29, 2018
06/18

by
Bahman Angoshtari; Thaleia Zariphopoulou; Xun Yu Zhou

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We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set, and are updated at discrete times. Such performance criteria accommodate short-term predictability of asset returns, sequential learning and other dynamically unfolding factors affecting optimal portfolio choice. We analyze in detail a binomial model whose parameters are random and updated dynamically as the market evolves. We show that the key step...

Topics: Mathematical Finance, Portfolio Management, Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1611.04494

0
0.0

Jun 29, 2018
06/18

by
Wing Fung Chong; Ying Hu; Gechun Liang; Thaleia Zariphopoulou

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Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general representation results (via both BSDE and convex duality) and examine their behavior for risk positions of long maturities. We show that forward entropic risk measures converge to some constant exponentially fast. We also compare them with their classical counterparts and derive a parity result.

Topics: Mathematical Finance, Portfolio Management, Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1607.02289

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2.0

Jun 27, 2018
06/18

by
Amir Memartoluie; David Saunders; Tony Wirjanto

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We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when the risk measure is CVaR, and the distributions are discretized, the problem can be conveniently solved using linear programming technique. The method has applications to any situation where marginals are provided, and bounds need to be determined on total portfolio risk. This arises in many financial contexts,...

Topics: Quantitative Finance, Risk Management

Source: http://arxiv.org/abs/1505.02292

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3.0

Jun 27, 2018
06/18

by
Fabio Derendinger

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The ability to adequately model risks is crucial for insurance companies. The method of "Copula-based hierarchical risk aggregation" by Arbenz et al. offers a flexible way in doing so and has attracted much attention recently. We briefly introduce the aggregation tree model as well as the sampling algorithm proposed by they authors. An important characteristic of the model is that the joint distribution of all risk is not fully specified unless an additional assumption (known as...

Topics: Quantitative Finance, Risk Management

Source: http://arxiv.org/abs/1506.03564

3
3.0

Jun 27, 2018
06/18

by
Marco Bardoscia; Stefano Battiston; Fabio Caccioli; Guido Caldarelli

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The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical "microscopic" theory of instability for financial networks by iterating balance sheet identities of individual banks and by assuming a simple rule for the transfer of shocks from borrowers to lenders. By doing so, we generalise the DebtRank formulation,...

Topics: Quantitative Finance, Risk Management

Source: http://arxiv.org/abs/1504.01857

1
1.0

Jun 30, 2018
06/18

by
Christoph Wunderer

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Asset correlations play an important role in credit portfolio modelling. One possible data source for their estimation are default time series. This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not. We find that the asset correlation will always be underestimated if homogeneity with respect to the probability of default (PD) is wrongly assumed, and the error is the larger the more...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1701.02028

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0.0

Jun 30, 2018
06/18

by
Umberto Cherubini; Paolo Neri

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We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to diversification. We confirm the large evidence of sub-additivity violations, particularly for risks with low tail index values and positive dependence. So, reinsurance strategies are not allowed to exploit diversification gains, or only a very limited amount...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1704.07235

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0.0

Jun 29, 2018
06/18

by
M. Abeille; E. Serie; A. Lazaric; X. Brokmann

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We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstrate how the problem then falls into the LQG framework. We derive the optimal control policy and introduce analytical tools that preserve the intelligibility of the solution. Furthermore, we link the existence and uniqueness of the optimal controller...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1611.00997

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1.0

Jun 30, 2018
06/18

by
Jianjun Gao; Ke Zhou; Duan Li; Xiren Cao

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Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk measures, the lower-partial moments (LPM) and conditional value-at-risk (CVaR) are probably most promising. In this paper we investigate the dynamic mean-LPM and mean-CVaR portfolio...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1402.3464

1
1.0

Jun 30, 2018
06/18

by
Tahir Choulli; Jun Deng

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It has been understood that the ``local" existence of the Markowitz' optimal portfolio or the solution to the local risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes (called ``Structure Conditions" in the literature). In this paper, we consider a semi-martingale market model (initial market model) fulfilling these structures, and an arbitrary random time that is not adapted to the flow of the ``public"...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1403.3459

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0.0

Jun 30, 2018
06/18

by
Daniel Grigat; Fabio Caccioli

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We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers of systemic events, and it removes the arbitrariness in the selection of shock scenarios in stress testing. We consider in particular the case of distress propagation in an interbank market, and we study a network of 44 European banks, which we reconstruct...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1702.08744

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0.0

Jun 30, 2018
06/18

by
Alessandro Ramponi

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In this paper we consider Fourier transform techniques to efficiently compute the Value-at-Risk and the Conditional Value-at-Risk of an arbitrary loss random variable, characterized by having a computable generalized characteristic function. We exploit the property of these risk measures of being the solution of an elementary optimization problem of convex type in one dimension for which Fast and Fractional Fourier transform can be implemented. An application to univariate loss models driven by...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1407.1072

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0.0

Jun 30, 2018
06/18

by
Danping Li; Dongchen Li; Virginia R. Young

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In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L\'{e}vy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthermore, we obtain the explicit equilibrium reinsurance-investment strategy by solving the extended Hamilton-Jacobi-Bellman equation.

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1703.01984

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0.0

Jun 30, 2018
06/18

by
Oleksii Mostovyi

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In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obtain the "usual" conclusions of the utility maximization theory. We also give a characterization of the value function in the large market in terms of a sequence of the...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1403.6175

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0.0

Jun 30, 2018
06/18

by
P. Lencastre; F. Raischel; P. G. Lind

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We explicitly test if the reliability of credit ratings depends on the total number of admissible states. We analyse open access credit rating data and show that the effect of the number of states in the dynamical properties of ratings change with time, thus giving supportive evidence that the ideal number of admissible states changes with time. We use matrix estimation methods that explicitly assume the hypothesis needed for the process to be a valid rating process. By comparing with the...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1409.2661

0
0.0

Jun 30, 2018
06/18

by
Kasper Larsen; Oleksii Mostovyi; Gordan Žitković

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In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order expansion formula for the power investor's value function - seen as a function of the underlying market price of risk process - is provided. This allows us to provide first-order approximations of the optimal primal and dual controls. Two specific calibrated numerical examples illustrating the accuracy of the method are...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1410.0946

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0.0

Jun 27, 2018
06/18

by
Youssouf A. F. Toukourou; François Dufresne

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We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated chance constraint (MICC). As their names suggest, the OICC covers only one period whereas several periods are taken into account with the MICC. A multistage stochastic linear programming model is therefore developed for this purpose and a...

Topics: Quantitative Finance, Risk Management

Source: http://arxiv.org/abs/1503.05343

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0.0

Jun 30, 2018
06/18

by
Miklós Rásonyi; José G. Rodríguez-Villarreal

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We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in a previous paper under certain conditions on the parameters of these power functions. In the present paper we prove the existence of optimal strategies under a different set of conditions on the parameters, identical to the ones which were shown to be necessary and sufficient in the...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1405.3812

This thesis analyzes the Defense (DoD) Financial Improvement and Audit Readiness (FIAR) Plan using the Balanced Scorecard. Using Niven's methodology of applying the Balanced Scorecard to the nonprofit and government sectors, the purpose of the thesis is to determine if the Balanced Scorecard can assist in execution of the FIAR Strategy to achieve the goal of asserting financial audit readiness by 30 September 2017. The analysis produced a Strategy Map and Balanced Scorecard, which translated...

Topics: Industrial management, Finance

0
0.0

Jun 30, 2018
06/18

by
Andreas Fröhlich; Annegret Weng

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In this contribution we consider the overall risk given as the sum of random subrisks $\mathbf{X}_j$ in the context of value-at-risk (VaR) based risk calculations. If we assume that the undertaking knows the parametric distribution family subrisk $\mathbf{X}_j=\mathbf{X}_j(\theta_j)$, but does not know the true parameter vectors $\theta_j$, the undertaking faces parameter uncertainty. To assess the appropriateness of methods to model parameter uncertainty for risk capital calculation we...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1704.01608

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1.0

Jun 30, 2018
06/18

by
Erhan Bayraktar; David Promislow; Virginia Young

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We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal while consuming from an investment account. We extend Bayraktar and Young (2015) by allowing the individual to purchase term life insurance to reach her bequest goal. The premium rate for life insurance, $h$, serves as a parameter to connect two seemingly unrelated problems. As the premium rate approaches $0$,...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1412.2262

1
1.0

Jun 30, 2018
06/18

by
Ronald Hochreiter; Christoph Waldhauser

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We consider the optimization of active extension portfolios. For this purpose, the optimization problem is rewritten as a stochastic programming model and solved using a clever multi-start local search heuristic, which turns out to provide stable solutions. The heuristic solutions are compared to optimization results of convex optimization solvers where applicable. Furthermore, the approach is applied to solve problems with non-convex risk measures, most notably to minimize Value-at-Risk....

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1406.7723

1
1.0

Jun 28, 2018
06/18

by
Antony Ware; Ilnaz Asadzadeh

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In this paper we present an application of the use of autocopulas for modelling financial time series showing serial dependencies that are not necessarily linear. The approach presented here is semi-parametric in that it is characterized by a non-parametric autocopula and parametric marginals. One advantage of using autocopulas is that they provide a general representation of the auto-dependency of the time series, in particular making it possible to study the interdependence of values of the...

Topics: Quantitative Finance, Risk Management

Source: http://arxiv.org/abs/1507.04767

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5.0

Jun 27, 2018
06/18

by
Liusha Yang; Romain Couillet; Matthew R. McKay

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We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of available market returns is often of similar order to the number of assets, so that the sample covariance matrix performs poorly as a covariance estimator. Additionally, financial market data often contain outliers which, if not correctly handled, may further...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1503.08013

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282

May 2, 2011
05/11

by
Caballero, Ricardo J; Krishnamurthy, Arvind; Massachusetts Institute of Technology. Dept. of Economics

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"November 21, 2005"--Cover

Topics: Finance, Risk management

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3.0

Jun 30, 2018
06/18

by
Luca Spadafora; Marco Dubrovich; Marcello Terraneo

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In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital. The proposed approach extends the usual market-risk measure, ie, Value-at-Risk (VaR) at a short-term horizon and 99% confidence level, by properly applying a scaling on the short-term Profit-and-Loss (P&L) distribution. Besides the standard square-root-of-time scaling, based on normality...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1408.2462

58
58

Oct 18, 2010
10/10

by
LeVert, Suzanne; Sheppard, George

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Includes bibliographical references (p. 61) and index

Topic: Business enterprise Finance Management

1
1.0

Jun 30, 2018
06/18

by
Steven E. Pav

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The signal-noise ratio of a portfolio of p assets, its expected return divided by its risk, is couched as an estimation problem on the sphere. When the portfolio is built using noisy data, the expected value of the signal-noise ratio is bounded from above via a Cramer-Rao bound, for the case of Gaussian returns. The bound holds for `biased' estimators, thus there appears to be no bias-variance tradeoff for the problem of maximizing the signal-noise ratio. An approximate distribution of the...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1409.5936

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2.0

Jun 27, 2018
06/18

by
M. Formenti; L. Spadafora; M. Terraneo; F. Ramponi

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This work presents a theoretical and empirical evaluation of Anderson-Darling test when the sample size is limited. The test can be applied in order to backtest the risk factors dynamics in the context of Counterparty Credit Risk modelling. We show the limits of such test when backtesting the distributions of an interest rate model over long time horizons and we propose a modified version of the test that is able to detect more efficiently an underestimation of the model's volatility. Finally...

Topics: Quantitative Finance, Risk Management

Source: http://arxiv.org/abs/1505.04593

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4.0

Jun 27, 2018
06/18

by
Zachary Feinstein

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This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium liquidation strategy with corresponding unique clearing payments and liquidation prices. An algorithm for computing the maximal clearing payments and prices is provided.

Topics: Quantitative Finance, Risk Management

Source: http://arxiv.org/abs/1506.00937

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1.0

Jun 30, 2018
06/18

by
Silvio Tarca; Marek Rutkowski

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The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk implements an asymptotic single risk factor (ASRF) model. Measurements from the ASRF model of the prevailing state of Australia's economy and the level of capitalisation of its banking sector find general agreement with macroeconomic indicators, financial statistics and external credit ratings. However, given the range of economic conditions, from mild contraction to moderate expansion, experienced in...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1412.0064

3
3.0

Jun 29, 2018
06/18

by
Bernhard K. Meister

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The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of their assets in the risky asset and the remainder in a riskless asset. This requires regular adjustment of the portfolio weights as prices evolve. The CTA trading activity impacts the price change in the form of a power law. These two rules governing investment ratios and price impact are combined...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1610.10029

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4.0

Jun 30, 2018
06/18

by
Tung-Lam Dao

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In this article, we discuss various implementation of L1 filtering in order to detect some properties of noisy signals. This filter consists of using a L1 penalty condition in order to obtain the filtered signal composed by a set of straight trends or steps. This penalty condition, which determines the number of breaks, is implemented in a constrained least square problem and is represented by a regularization parameter ? which is estimated by a cross-validation procedure. Financial time series...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1403.4069

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0.0

Jun 29, 2018
06/18

by
Matteo Burzoni; Ilaria Peri; Chiara Maria Ruffo

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Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable for assessing the accuracy of such an estimation and this can be naturally achieved by elicitable risk measures. For the same objective, an alternative approach has been introduced by Davis (2016) through the so-called consistency property. On the other hand,...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1603.09491

1
1.0

Jun 29, 2018
06/18

by
Jianxi Su; Edward Furman

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A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a multivariate Pareto distribution. Insurance: Mathematics and Economics 46(2), 308-316], the structure in this paper is absolutely continuous with respect to the corresponding Lebesgue measure. The distribution is of importance to actuaries through its connections...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1607.04737

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2.0

Jun 29, 2018
06/18

by
Alicja Wolny-Dominiak

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This paper presents the hierarchical generalized linear model (HGLM) for loss reserving in a non-life insurance company. Because in this case the error of prediction is expressed by a complex analytical formula, the error bootstrap estimator is proposed instead. Moreover, the bootstrap procedure is used to obtain full information about the error by applying quantiles of the absolute prediction error. The full R code is available on the Github https://github.com/woali/BootErrorLossReserveHGLM.

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1612.04126

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0.0

Jun 30, 2018
06/18

by
Boualem Djehiche; Björn Löfdahl

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We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a conditional law of large numbers, we establish the connection between claims reserving and risk aggregation for large portfolios. Further, we derive a partial differential equation for moments of present values. Moreover, we show how statistical multi-factor intensity...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1401.3589

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0.0

Jun 30, 2018
06/18

by
Oliver Kley; Claudia Kluppelberg; Gesine Reinert

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We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail Expectation. We show that the dependence on the network structure plays a fundamental role in their asymptotic behaviour. As is well-known in a non-network setting, if the Pareto exponent is larger than 1, then for the individual agent (reinsurance...

Topics: Risk Management, Quantitative Finance

Source: http://arxiv.org/abs/1410.8671

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0.0

Jun 30, 2018
06/18

by
Boguk Kim; Chulwoo Han; Frank Chongwoo Park

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A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal portfolio state is conducted by a series of single-step optimisations under the local constraints described in the multi-dimensional constraint parameter space as functions of the total amount of portfolio adjustment. Each single-step optimisation is...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1411.2525