Asymmetric Change-of-Probability Measures for Tail Risk Management.
Saeede EnayatiHossein Pishro-NikPublished in: SysCon (2022)
Keyphrases
- risk management
- probability measures
- decision support system
- risk evaluation
- metric space
- risk assessment
- operational risk
- stochastic process
- probability measure
- belief functions
- conditional probabilities
- information systems
- databases
- markov chain
- commercial banks
- hilbert space
- stochastic processes
- reinforcement learning
- project management
- vector space
- similarity search