We study the performance of diamonds compared to gold and other precious metals in mitigating the tail risk of a diversified equity market portfolio over the period June 2007 to October 2018. Our results display a diversification benefit of some diamond indices, which also improve the portfolio...

The aim of this paper is to extend Variational AutoEncoders (VAE) to allow for heavy tailed distribution of the latent space and apply them to the problem of market risk of large portfolios.We extend VAE to incorporate a Student-t distribution as the latent distribution and test their...

In this paper, we propose a framework for credit and debit valuation adjustments (CVA and DVA, respectively) for options and option portfolios which is based on conic finance, that is, where the positions are valued at their bid or ask prices depending on whether they are assets or liabilities....