A Novel Scaling Approach for Unbiased Adjustment of Risk Estimators
The paper introduces a new approach to risk scaling, addressing challenges like limited data and heavy tails in risk assessment. It...
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7 août
Risk sharing with Lambda value at risk under heterogeneous beliefs
This study provides semi-explicit formulas for inf-convolution and optimal allocations, considering homogeneous, conditional, and...
19 juil.
Bayesian Adaptive Sparse Copula
This paper introduces a multivariate sparse multiscale Bernstein polynomial model for copula dependence structures, utilizing a Bayesian...
22 déc. 2023
Strategic Risk-Modelling by Banks: Evidence from Inside the Black Box
Bank regulators link capital to risk, but accurately measuring risk poses challenges. Banks use internal models, impacting Value-at-Risk...
31 oct. 2023
Law-Invariant Return and Star-Shaped Risk Measures
This paper introduces new characterizations for certain types of law-invariant star-shaped functionals, particularly those with...
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