Risk Management

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

[1]  arXiv:2404.00015 [pdf, other]

Title: Empowering Credit Scoring Systems with Quantum-Enhanced Machine Learning

Authors: Javier Mancilla, André Sequeira, Tomas Tagliani, Francisco Llaneza, Claudio Beiza

Comments: Preprint

Subjects: Risk Management (q-fin.RM); Machine Learning (cs.LG); Statistical Finance (q-fin.ST); Quantum Physics (quant-ph); Machine Learning (stat.ML)

[2]  arXiv:2404.03783 [pdf, ps, other]

Title: Coherent risk measures and uniform integrability

Authors: Muqiao Huang, Ruodu Wang

Subjects: Risk Management (q-fin.RM)

[3]  arXiv:2404.05372 [pdf, other]

Title: The PEAL Method: a mathematical framework to streamline securitization structuring

Authors: Andrea Pinto, Antonio Scala

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

[4]  arXiv:2404.07452 [pdf, other]

Title: RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data

Authors: Yupeng Cao, Zhi Chen, Qingyun Pei, Fabrizio Dimino, Lorenzo Ausiello, Prashant Kumar, K.P. Subbalakshmi, Papa Momar Ndiaye

Comments: 24 pages, 7 figures, 5 tables, 1 algorithm

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

[5]  arXiv:2404.09646 [pdf, ps, other]

Title: Derivatives of Risk Measures

Authors: Battulga Gankhuu

Subjects: Risk Management (q-fin.RM)

[6]  arXiv:2404.13637 [pdf, other]

Title: Extremal cases of distortion risk measures with partial information

Authors: Mengshuo Zhao, Narayanaswamy Balakrishnan, Chuancun Yin

Comments: 36 pages

Subjects: Risk Management (q-fin.RM)

[7]  arXiv:2404.15023 [pdf, ps, other]

Title: The checkerboard copula and dependence concepts

Authors: Liyuan Lin, Ruodu Wang, Ruixun Zhang, Chaoyi Zhao

Subjects: Risk Management (q-fin.RM)

[8]  arXiv:2404.17008 [pdf, other]

Title: The TruEnd-procedure: Treating trailing zero-valued balances in credit data

Authors: Arno Botha, Tanja Verster, Roelinde Bester

Comments: 21 pages, 7255 words, 10 Figures

Subjects: Risk Management (q-fin.RM); Statistical Finance (q-fin.ST); Applications (stat.AP)

[9]  arXiv:2404.18029 [pdf, other]

Title: Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification

Authors: Bingzhen Geng, Yang Liu, Yimiao Zhao

Comments: Keywords: Asymptotic approximation; Systemic risk; Expectile; Sarmanov distribution; Second-order regular variation; Diversification benefit

Subjects: Risk Management (q-fin.RM)

[10]  arXiv:2404.18183 [pdf, ps, other]

Title: Innovative Application of Artificial Intelligence Technology in Bank Credit Risk Management

Authors: Shuochen Bi, Wenqing Bao

Comments: 6 pages, 1 figure, 2 tables

Journal-ref: International Journal of Global Economics and Management ISSN: 3005-9690 (Print), ISSN: 3005-8090 (Online) | Volume 2, Number 3, Year 2024

Subjects: Risk Management (q-fin.RM); Artificial Intelligence (cs.AI)

[11]  arXiv:2404.00012 (cross-list from q-fin.ST) [pdf, other]

Title: Stress index strategy enhanced with financial news sentiment analysis for the equity markets

Authors: Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez, Thomas Jacquot

Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Computation and Language (cs.CL); Risk Management (q-fin.RM)

[12]  arXiv:2404.11722 (cross-list from q-fin.TR) [pdf, other]

Title: Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon

Authors: Yifan He, Abootaleb Shirvani, Barret Shao, Svetlozar Rachev, Frank Fabozzi

Comments: 54 pages, 45 figures

Subjects: Trading and Market Microstructure (q-fin.TR); Risk Management (q-fin.RM)

[13]  arXiv:2404.13754 (cross-list from q-fin.PR) [pdf, other]

Title: Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts

Authors: Bastien Baldacci, Philippe Bergault, Olivier Guéant

Subjects: Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

[14]  arXiv:2404.14136 (cross-list from q-fin.ST) [pdf, ps, other]

Title: Elicitability and identifiability of tail risk measures

Authors: Tobias Fissler, Fangda Liu, Ruodu Wang, Linxiao Wei

Comments: 31 pages

Subjects: Statistical Finance (q-fin.ST); Statistics Theory (math.ST); Risk Management (q-fin.RM); Methodology (stat.ME)

[15]  arXiv:2404.14337 (cross-list from q-fin.MF) [pdf, other]

Title: Statistical Validation of Contagion Centrality in Financial Networks

Authors: Agathe Sadeghi, Zachary Feinstein

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

[16]  arXiv:2404.15478 (cross-list from q-fin.TR) [pdf, other]

Title: Algorithmic Market Making in Spot Precious Metals

Authors: Alexander Barzykin, Philippe Bergault, Olivier Guéant

Subjects: Trading and Market Microstructure (q-fin.TR); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)

[17]  arXiv:2404.17227 (cross-list from econ.GN) [pdf, other]

Title: Trust Dynamics and Market Behavior in Cryptocurrency: A Comparative Study of Centralized and Decentralized Exchanges

Authors: Xintong Wu, Wanling Deng, Yuotng Quan, Luyao Zhang

Subjects: General Economics (econ.GN); Computational Engineering, Finance, and Science (cs.CE); Cryptography and Security (cs.CR); Computers and Society (cs.CY); Risk Management (q-fin.RM)

[18]  arXiv:2404.02595 (cross-list from quant-ph) [pdf, other]

Title: QFNN-FFD: Quantum Federated Neural Network for Financial Fraud Detection

Authors: Nouhaila Innan, Alberto Marchisio, Muhammad Shafique, Mohamed Bennai

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

[19]  arXiv:2404.10900 (cross-list from cs.GT) [pdf, ps, other]

Title: Allocation Mechanisms in Decentralized Exchange Markets with Frictions

Authors: Mario Ghossoub, Giulio Principi, Ruodu Wang

Subjects: Computer Science and Game Theory (cs.GT); Theoretical Economics (econ.TH); Functional Analysis (math.FA); Risk Management (q-fin.RM)

[20]  arXiv:2404.17915 (cross-list from econ.TH) [pdf, ps, other]

Title: Bertrand oligopoly in insurance markets with Value at Risk Constraints

Authors: Kolos Csaba Ágoston, Veronika Varga

Comments: 47 pages

Subjects: Theoretical Economics (econ.TH); Risk Management (q-fin.RM)

[21]  arXiv:2404.18470 (cross-list from cs.CE) [pdf, other]

Title: ECC Analyzer: Extract Trading Signal from Earnings Conference Calls using Large Language Model for Stock Performance Prediction

Authors: Yupeng Cao, Zhi Chen, Qingyun Pei, Prashant Kumar, K.P. Subbalakshmi, Papa Momar Ndiaye

Comments: 15 pages, 3 figures, 5 tables

Subjects: Computational Engineering, Finance, and Science (cs.CE); Artificial Intelligence (cs.AI); Computation and Language (cs.CL); Risk Management (q-fin.RM); Trading and Market Microstructure (q-fin.TR)