Risk Management

Authors and titles for q-fin.RM in Mar 2024

[1]  arXiv:2403.01468 [pdf, other]

Title: Properties of the entropic risk measure EVaR in relation to selected distributions

Authors: Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko, Volodymyr Zubchenko

Comments: 16 pages, 7 figures

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[2]  arXiv:2403.06188 [pdf, ps, other]

Title: On Geometrically Convex Risk Measures

Authors: Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[3]  arXiv:2403.06482 [pdf, other]

Title: Financial Default Prediction via Motif-preserving Graph Neural Network with Curriculum Learning

Authors: Daixin Wang, Zhiqiang Zhang, Yeyu Zhao, Kai Huang, Yulin Kang, Jun Zhou

Subjects: Risk Management (q-fin.RM); Machine Learning (cs.LG)

[4]  arXiv:2403.10631 [pdf, other]

Title: Default Resilience and Worst-Case Effects in Financial Networks

Authors: Giuseppe Calafiore, Giulia Fracastoro, Anton Proskurnikov

Subjects: Risk Management (q-fin.RM); Computational Engineering, Finance, and Science (cs.CE); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

[5]  arXiv:2403.12647 [pdf, ps, other]

Title: Uncertainty in the financial market and application to forecastabnormal financial fluctuations

Authors: Shige Peng, Shuzhen Yang, Wenqing Zhang

Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)

[6]  arXiv:2403.14231 [pdf, other]

Title: Spanning Multi-Asset Payoffs With ReLUs

Authors: Sébastien Bossu, Stéphane Crépey (LPSM, UPCité), Hoang-Dung Nguyen (LPSM, UPCité)

Subjects: Risk Management (q-fin.RM)

[7]  arXiv:2403.14868 [pdf, other]

Title: A Markov approach to credit rating migration conditional on economic states

Authors: Michael Kalkbrener, Natalie Packham

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[8]  arXiv:2403.16296 [pdf, ps, other]

Title: Workplace sustainability or financial resilience? Composite-financial resilience index

Authors: Elham Daadmehr

Journal-ref: Risk Manag 26, 7 (2024)

Subjects: Risk Management (q-fin.RM); Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)

[9]  arXiv:2403.16525 [pdf, other]

Title: Measuring Name Concentrations through Deep Learning

Authors: Eva Lütkebohmert, Julian Sester

Subjects: Risk Management (q-fin.RM); General Finance (q-fin.GN)

[10]  arXiv:2403.19735 [pdf, other]

Title: Enhancing Anomaly Detection in Financial Markets with an LLM-based Multi-Agent Framework

Authors: Taejin Park

Subjects: Risk Management (q-fin.RM)

[11]  arXiv:2403.20171 [pdf, other]

Title: Risk exchange under infinite-mean Pareto models

Authors: Yuyu Chen, Paul Embrechts, Ruodu Wang

Comments: arXiv admin note: substantial text overlap with arXiv:2208.08471

Subjects: Risk Management (q-fin.RM)

[12]  arXiv:2403.01012 (cross-list from math.OC) [pdf, ps, other]

Title: Hilbert Space-Valued LQG Mean Field Games: An Infinite-Dimensional Analysis

Authors: Hanchao Liu, Dena Firoozi

Comments: 21 pages

Subjects: Optimization and Control (math.OC); Functional Analysis (math.FA); Probability (math.PR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

[13]  arXiv:2403.03785 (cross-list from cs.CE) [pdf, ps, other]

Title: A machine learning workflow to address credit default prediction

Authors: Rambod Rahmani, Marco Parola, Mario G.C.A. Cimino

Subjects: Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Risk Management (q-fin.RM)

[14]  arXiv:2403.03915 (cross-list from math.OC) [pdf, other]

Title: Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets

Authors: Xin Yue Ren, Dena Firoozi

Comments: 47 pages

Subjects: Optimization and Control (math.OC); Systems and Control (eess.SY); Probability (math.PR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

[15]  arXiv:2403.10652 (cross-list from cs.LG) [pdf, other]

Title: Improving Fairness in Credit Lending Models using Subgroup Threshold Optimization

Authors: Cecilia Ying, Stephen Thomas

Comments: Neural Information Processing Systems (NeurIPS) Workshop in Strategic ML

Subjects: Machine Learning (cs.LG); Risk Management (q-fin.RM)