Predicting Stock Market Crashes using Urns and the Quantum Lorenz Ordering of Correlation Matrices

By sampling financial correlation matrices over sliding windows, it has been shown in recent work that the quantum majorization induced partial ordering on this space of correlation matrices known as the "quantum Lorenz ordering" (QLO) can be used to characterize systemic risk by clustering correlation matrices according to their degree...

Assessing concentration and diversification in portfolio credit risk models

This thesis explores existing and proposes new methods for assessing concentration risk in default-only credit risk models. Within the existing methods, the analytic Granularity Adjustment is studied in the single factor Gaussian threshold and in the CreditRisk+ framework. These adjustments are tested on a sample portfolio in the presence of...

Quantifying and hedging wrong-way risk in interest rate swaps using copulas

Wrong-way risk (WWR), which is the dependence between the probability of default (PD) and the exposure at default of a counterparty, is an aspect of credit risk that can lead to high losses. This thesis aims firstly to quantify WWR in interest rate swaps (IRSs) using a copula model, where a copula is used to couple the PD implied by credit...

Explanatory Techniques for Machine Learning Models

Since the last decade, we are assisting a widespread use of “black box” Machine Learning algorithms, these are algorithms with excellent performance but whose outcomes are hard to understand to a human agent. However, there are some situation when it is important to understand why a certain output is given,<br/>and the field of explanability in...

Statistics of War Casualties

In this thesis we statistically analyze violent conflicts. The main focus lies on the risk of occurrence of large wars. We collected data that provides the total amount of casualties, for every known war, in the time span 768CE - 2019. The distribution of the data suggests a presence of a long right tail. We have used different graphical tools...

Market risk calculations in stock- and bond prices: a garch-copula approach

The financial crisis of $2008$-$2009$ has led to more strict regulatory supervisory on banks and insurance companies, focusing on better (market) risk models. The linear correlation models did not foresee the extreme losses in asset values, because they were not able to forecast high volatile markets in which the dependence between financial...

Exact distributions of the multinomial order statistics

Optimal alarm systems on financial risk indices

'This paper introduces the theory of optimal alarm systems on ?nancial risk indices. An alarm system is optimal if it detects catastrophes with a high probability and simultaneously gives a low number of false alarms. First a small introduction to the theory of optimal alarm systems is given. To evaluate and compare different alarm systems, a...

Distributional Properties of Firms' Growth and the role of the Financial Structure

In this paper, we analyze the distributional properties of firms' growth, using an exhaustive data set of Italian firms between 1987-2006. The aim of the project is to understand the patterns of growth of firms and the relationship between growth and different financial structures.