154 résultats
pour « riskmanagement »
"Bayesian estimates from experimental data can be influenced by highly diffuse or "uninformative" priors. This paper discusses how practitioners can use their own expertise to critique and select a prior that (i) incorporates our knowledge as experts in the field, and (ii) achieves favorable sampling properties. I demonstrate these techniques using data from eleven experiments of decision-making under risk, and discuss some implications of the findings."
"... we study the behavior of the asymptotic tail distribution of independent sums of heavy-tailed random vectors under the paradigm of multivariate regular variation. Assessment of such tail probabilities are of interest in risk management for many finance, insurance, queueing, and environmental applications. Multidimensional tail events are often characterized by at least one variable exceeding a high threshold, and the asymptotic probability of such events follow the so-called “one large jump” principle..."
"... new risks—and the intensification of longstanding risks—are pressure-testing the agility and resilience of corporate strategies, risk management systems and practices."
"We propose here an analysis of the database of the cyber complaints filed at the Gendarmerie Nationale.We perform this analysis with a new algorithm developed for non-negative asymmetric heavy-tailed data, which could become a handy tool in applied fields. This method gives a good estimation of the full distribution including the tail. Our study confirms the finiteness of the loss expectation, necessary condition for insurability."
"While stress testing has modernized banks’ internal risk management by spurring the acquisition of highly skilled risk management talent, recent changes to the tests could erode its efficacy."
"Using data on credit scores matched with unique information on firm level commercial insurance purchases, we find that financing constraints lead to higher insurance spending. We adopt a regression discontinuity design and show that financially constrained firms spend 5–14% more on insurance than otherwise similar unconstrained firms. "
"... an overview of how machine learning can help in categorizing textual descriptions of operational loss events into Basel II event types. We apply PYTHON implementations of support vector machine and multinomial naive Bayes algorithms to precategorized Öffentliche Schadenfälle OpRisk (ÖffSchOR) data to demonstrate that operational loss events can be automatically assigned to one of the seven Basel II event types with very few costs and satisfactory accuracy."
"... the information provided by past losses results from them capturing hard to quantify factors such as the quality of operational risk controls, the risk culture, and the risk appetite of the bank."
"The EU, France, and Germany, among other jurisdictions, have recently adopted laws requiring large businesses to conduct human rights due diligence (HRDD) in their supply chains."
"An employee may be attacked by a potentially sophisticated adversary whose goal is to steal all their data. Therefore, the firm trades off the efficiency benefit of the more permissive data access architecture with the adversarial risk it incurs. We characterize the firm's optimal data access architecture and investigate how it depends both on the adversarial environment and the firm's technology."