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Every paper Pith has read. Search by title, abstract, or pith.
46 papers in q-fin.RM · page 1
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Risk principles collapse unless epistemic gaps are isolated
The Epistemic Risk of Risk: A Modal Framework for Quantitative Risk Management
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Binary perpetuals need separate halt and margin rules
Resolution-Aware Perpetual Futures on Binary Prediction Markets: An Empirical Risk-Design Framework Using Polymarket Data
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HS VaR methods embed specific parametric return models
On the modeling assumptions of Historical Simulation for Value-at-Risk
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One adjoint pass yields policy gradients plus all input sensitivities
SNAPO: Smooth Neural Adjoint Policy Optimization for Optimal Control via Differentiable Simulation
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Anchored LSTMs improve longevity forecasts where linear models fail
Neural-Actuarial Longevity Forecasting: Anchoring LSTMs for Explainable Risk Management
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Hybrid Newton-bisection computes lambda quantiles reliably
Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
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Cycles Protocol nets trade credit without risk shift or novation
Deepening the Secondary Market: Integrating Trade Credit into Market Clearing with the Cycles Protocol
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Eigenvalue method cuts Monte Carlo paths from 1M to 10
Fast Monte-Carlo
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Risk drops by cutting exposure to top-risk scenarios via full matrix spectrum
Measuring the risk or reducing it, that is the question: is risk measurement necessary for risk reduction?
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Asymmetric divergence yields closed-form insurance contracts
Distributionally Robust Insurance under Bregman-Wasserstein Divergence
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GCC reserving method gains explicit MSEP formula
A Note on the Generalized Cape Cod Reserving Method
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Worst-case sampler perturbations certify population performance
Sampler-Robust Optimization under Generative Models
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Motif patterns in risk networks improve portfolio returns
A Motif-Based Framework for Decomposing Risk Spillovers
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Generator weights from triangular inversion characterize signed tail compatibility
A Geometric Witness Framework for Signed Multivariate Tail-Dependence Compatibility: Asymptotic Structure and Finite-Threshold Synthesis
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Margin debt contracts multiplicatively in stress
Multiplicative Contractions, Additive Recoveries: Functional-Form Restrictions on Risk Exposure Dynamics
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VC deal correlations boost extreme successes without raising averages
Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
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Geographic features lift zone-level insurance claim accuracy
Revealing Geography-Driven Signals in Zone-Level Claim Frequency Models: An Empirical Study using Environmental and Visual Predictors
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Extended HMM models operational risk ties to macro variables
Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
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Daily early warnings for big price moves via trader network markers
Identifying dynamical network markers of financial market instability
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Hit-ratio targets keep bond quote optimization separable
Bond Market Making with a Hit-Ratio Target
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Conditional GAN produces 2050 drought maps for French insurance
A Wasserstein GAN-based climate scenario generator for risk management and insurance: the case of soil subsidence
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Funding sensitivities fix liquidity forecasts by matching replication
Replication-Consistent Liquidity Forecasting for Derivatives -- Forward Funding Sensitivities and a Liquidity Valuation Adjustment for Settlement Lags
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QR reparametrization diagonalizes conditional Fisher matrix for NSS curves
Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability
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Macro shifts explain most yearly default clustering over contagion
Contagion or Macroeconomic Fluctuations? Identifiability in Aggregated Default Data
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Macro shifts explain most default clustering in yearly aggregates
Contagion or Macroeconomic Fluctuations? Identifiability in Aggregated Default Data
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DeFi vaults need five new credit risk metrics
Vault as a credit instrument
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Joint exclusivity vectors exist iff sum of survival probs at zero ≤ n-1
Joint Exclusivity
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Short positions weaken disposition effect
Do Short Exposure and Systematic Risk Exposure Drive Asymmetries in the Disposition Effect?
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Geospatial framework links climate hazards to California financial risks
Climate Risk Stress Testing in California: A Geospatial Framework for Banking and Climate-Exposed Sectors
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Excess-of-loss menus screen risks with decreasing loadings
Optimal Insurance Menu Design under the Expected-Value Premium Principle
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Macro news jumps carry the highest risk premium
Interpretable Systematic Risk around the Clock
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Framework decomposes KS declines into four distinct causes
A Counterfactual Diagnostic Framework for Explaining KS Deterioration in Credit Risk Model Validation
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Temperature anomalies cut returns in most equity sectors
Temperature Anomalies and Climate Physical Risk in Portfolio Construction
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Lambda-EVaR blends flexible confidence levels with moment-sensitive risk
Lambda R{\'e}nyi entropic value-at-risk
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Routing volatility models by market state cuts high-vol errors 24%
Risk-Sensitive Specialist Routing for Volatility Forecasting
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Risk contribution splits into inherent volatility and correlation components
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
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AAA ratings for structured credit needed 10,000:1 discrimination
When AAA Satisfies Nothing: Impossibility Theorems for Structured Credit Ratings
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Reliability framework sharpens ETF tail-risk monitoring
Reliability-Aware ETF Tail-Risk Monitoring
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Worst historical regime sets floor on strategy durability
Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
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Target Weight Mechanism cannot lower delta in lending pools
Target Weight Mechanism doesn't make delta hedge easier
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Gumbel MAGMAR copula best captures clustered sovereign rating changes
Climate-Aware Copula Models for Sovereign Rating Migration Risk
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Sequential audit sampling controls error rates exactly in finite populations
Sequential Audit Sampling with Statistical Guarantees
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Tail copula yields explicit maximal path dependence
Tail copula representation of path-based maximal tail dependence
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Ranking metrics represented via acceptance sets and risk measures
Ranking Metrics: Extending Acceptability and Performance Indexes
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Recalibration fixes VaR underestimation in SPX option books
Adaptive VaR Control for Standardized Option Books under Marking Frictions
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Transformer transfers recovery forecasts across loan shifts
Transfer Learning for Loan Recovery Prediction under Distribution Shifts with Heterogeneous Feature Spaces
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Rough Heston options data improves realized volatility forecasts
On options-driven realized volatility forecasting: Information gains via rough volatility model