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q-fin.RM2025
Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
Zhi Chen, Zachary Feinstein, Ionut Florescu
Environmental, Social, and Governance (ESG) data provides non-financial insights into corporations. In this study, we aim to identify relevant ESG raw variables to assess financial…
q-fin.RM2025
Can Nash inform capital requirements? Allocating systemic risk measures
Çağın Ararat, Zachary Feinstein
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the leve…
q-fin.RM2024
On the Separability of Vector-Valued Risk Measures
Çağın Ararat, Zachary Feinstein
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk me…