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q-fin.RM2026
How to spot outliers: an Ensemble Anomaly Detection Framework
Daniil Peysakhovich, Rafał Sieradzki
Errors in risk valuation outputs arising from data-feed failures, model misconfiguration, or system malfunctions can propagate undetected through an investment bank's risk infrastr…
q-fin.RM2023
Systemic risk indicator based on implied and realized volatility
Paweł Sakowski, Rafał Sieradzki, Robert Ślepaczuk
We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan.…