We analyze the possibility of reduction of systemic risk in financial markets through Pigouvian taxation of financial institutions which is used to support the rescue fund. We introduce the concept of the cascade risk with a clear operational definit...
• Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot and options prices data from CBOE and Yahoo Finance • Utilized NumPy, Pandas, and SciPy packages to calculate implied vola…
Prior literature has argued that flood insurance maps may not capture the extent of flood risk. This paper performs a granular assessment of coastal flood risk in the mortgage market by using physical simulations of hurricane storm surge heights inst...
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference can be cru...
6 days ago · Our AI models have generated three distinct trading strategies tailored to different risk profiles and holding periods. Each strategy incorporates sophisticated risk management parameters …
Value-at-Risk is one of the most popular risk management tools in the financial industry. Over the past 20 years several attempts to include VaR in the portfolio selection process have been proposed. However, using VaR as a risk measure in portfolio...
Risk Game(based on Warzone) Implementation as part of SOEN6441(Advanced Programming Practices) course at Concordia University for Winter21 (⭐ 2)
Oct 19, 2022 · Cardiovascular and genetic risk factors may predict decreased brain volume in Alzheimer disease-specific brain regions in high-risk postmenopausal women.
This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and shows how such network risk is priced in the cross-section of currency returns. A portfolio that buys net-receivers and sells net-...
**Risk Level:** High Risk (4/5) \[5 Very Risky —> 1 Low Risk\] Project bandar penting untuk urusan lebih besar dari pasar saham. Target 1 : 2,000 Target 2 : 4,500 Targer 3 : 7,000 Owner: M...
Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These models are...
Nowadays, there are numerous risks related to bank loans both for the banks and the borrowers, who get the loans. The risk analysis about bank loans needs understanding about the risk and the risk level. Banks need to analyze their customers for loan eligibili…
It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater than a convex linear combination with the same w...
Risk-limiting post-election audits limit the chance of certifying an electoral outcome if the outcome is not what a full hand count would show. Building on previous work, we report on pilot risk-limiting audits in four elections during 2008 in thre...
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented systematically...
CVaR (Conditional Value at Risk) is a risk metric widely used in finance. However, dynamically optimizing CVaR is difficult since it is not a standard Markov decision process (MDP) and the principle of dynamic programming fails. In this paper, we stu...
Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of Neyman-Pearson type binary solution. We add a con...
This paper studies the optimization of Markov decision processes (MDPs) from a risk-seeking perspective, where the risk is measured by conditional value-at-risk (CVaR). The objective is to find a policy that maximizes the long-run CVaR of instantaneo...
Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measures of risk. Buffered Probability of Exceedance (bP...
Osteoporosis is a common bone disease that increases the risk of bone fracture. Hip-fracture risk screening methods based on finite element analysis depend on segmented computed tomography (CT) images; however, current femur segmentation methods requ...