32 citations · 67 across the 29 of their papers we have counts for
4 papers · 1 filter
Modality for Scenario Analysis and Maximum Likelihood Allocation
Takaaki Koike, Marius Hofert
We study the variability of a risk from the statistical viewpoint of multimodality of the conditional loss distribution given that the aggregate loss equals an exogenously provided…
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
Takaaki Koike, Marius Hofert
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jt…
Multivariate Geometric Expectiles
Klaus Herrmann, Marius Hofert, Melina Mailhot
A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimiz…
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
Marius Hofert, Amir Memartoluie, David Saunders +1
Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their im…