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A data-driven explainable case-based reasoning approach for financial risk detection

Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021

The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....

Persistent link: https://www.econbiz.de/10012584957

Existence and Uniqueness of Recursive Equilibria With Aggregate and Idiosyncratic Risk

Proehl, Elisabeth - 2020

In this paper, I study the existence and uniqueness of recursive equilibria in economies with aggregate and idiosyncratic risk. Rather than relying on compactness to establish existence, I exploit the monotonicity property of the equilibrium model and rely on arguments from convex analysis. This...

Persistent link: https://www.econbiz.de/10012851345

Robust Utility Maximization Under Model Uncertainty via a Penalization Approach

Guo, Ivan; Langrené, Nicolas; Loeper, Gregoire; Ning, Wei - 2020

associated Hamilton–Jacobi–Bellman–Isaacs equation. We test this robust algorithm on real market data. The results show that …

Persistent link: https://www.econbiz.de/10014096889

Unsystematic Risk and Coalition Formation in Product Markets

Brown, Murray; Chiang, Shin-hwan - 2002

We study the conjecture that increasing market volatility leads to larger coalitions in an oligopoly. Here, coalition formation decisions are made in a noncooperative game by risk averse firms. They use a sequential offer-counter-offer procedure initiated by Selten and Rubinstein. We find that...

Persistent link: https://www.econbiz.de/10014188968

Unsystematic Risk and Coalition Formation in Product Markets

Brown, Murray; Chiang, Shin-hwan - 2002

Persistent link: https://www.econbiz.de/10014122507

Computational suite of models with heterogeneous agents : incomplete markets and aggregate uncertainty

Den Haan, Wouter J.; Judd, Kenneth L.; Juillard, Michel - In: Journal of economic dynamics & control 34 (2010) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10003922068

Belief-neutral efficiency in financial markets

Beißner, Patrick; Riedel, Frank - 2025

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...

Persistent link: https://www.econbiz.de/10015272951

Algorithmic Hessians and the Fast Computation of Cross-Gamma Risk

Joshi, Mark S. - 2010

complexity of the original algorithm. We apply our results to computing the Gamma matrix of multi-dimensional financial … derivatives including Asian Baskets and cancellable swaps. In particular, our algorithm for computing Gammas of Bermudan …

Persistent link: https://www.econbiz.de/10013142095

A two-stage optimization model for relief logistics and distribution to disaster survivors under two-fold uncertainty

Sahoo, Palash - In: Supply chain analytics 8 (2024), pp. 1-23

-dimensional transportation problem using the concept of big data theory under the two-fold uncertainties. Here, the model's parameters such as … of the items at the retailers are considered type-2 zigzag uncertain variables. Using big data theory and based on … uncertain programming theory, two novel uncertain models are developed such as chance-constrained programming and expected value …

Persistent link: https://www.econbiz.de/10015325090

Efficient algorithms for heavy-tail analysis under interval uncertainty

Kreinovich, Vladik; Chiangpradit, Monchaya; … - 2012

Persistent link: https://www.econbiz.de/10010218822