arXiv 2016-11-28 EN Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets Gonchar, N. S.
arXiv 2016-11-15 EN Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall Kratz, Marie · Lok, Yen H. · McNeil, Alexander J
arXiv 2016-11-14 EN How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation Serri, Matteo · Caldarelli, Guido · Cimini, Giulio
arXiv 2016-10-26 EN Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics Leung, Tim · Wang, Zheng
arXiv 2016-10-12 EN Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions Opdyke, J. D.
arXiv 2016-10-07 EN Multiple risk factor dependence structures: Copulas and related properties Su, Jianxi · Furman, Edward
arXiv 2016-09-26 EN Risk-Consistent Conditional Systemic Risk Measures Hoffmann, Hannes · Meyer-Brandis, Thilo · Svindland, Gregor
arXiv 2016-09-19 EN Crises and Physical Phases of a Bipartite Market Model Dehmamy, Nima · Buldyrev, Sergey · Havlin, Shlomo · Stanley, Harry Eugene +1
arXiv 2016-09-13 EN Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization Li, Jonathan Yu-Meng
arXiv 2016-09-03 EN Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions Zambelli, Antoine Emil
arXiv 2016-09-02 EN On Jensen's inequality for generalized Choquet integral with an application to risk aversion Szeligowska, Wioletta · Kaluszka, Marek
arXiv 2016-08-28 EN Rethinking Financial Contagion Visentin, Gabriele · Battiston, Stefano · D'Errico, Marco
