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Record W7135915587

The Quantitative Risk Management Exercise Book

2020· book· en· W7135915587 on OpenAlexaff
Marius Hofert, Rüdiger; id_orcid 0000-0002-8402-4653 Frey, Alexander J. McNeil

Bibliographic record

VenueWU Research · 2020
Typebook
Languageen
FieldDecision Sciences
TopicLeadership, Behavior, and Decision-Making Studies
Canadian institutionsUniversity of Waterloo
Fundersnot available
KeywordsMartingale (probability theory)Stylized factValuation (finance)Random variableBondInterest rateExpected shortfallRisk-neutral measure
DOInot available

Abstract

fetched live from OpenAlex

Exercise 2.6 (VaR and expected shortfall) a) Give mathematically precise definitions of value-at-risk VaR (L) and expected shortfall ES (L) for a random loss L at confidence level (0, 1).b) Explain the relative advantages of each risk measure over the other.Exercise 2.7 (Superadditivity scenarios for VaR) Describe some models for financial losses that can lead to situations where VaR is superadditive.Exercise 2.8 (Additivity for two linearly dependent random variables) Consider an arbitrary random variable X and let Y = aX + b for constants a > 0 and b BasicExercise 2.9 (Risk-neutral valuation for interest-rate derivatives) Consider a two-period model.Denote by r t , t {0, 1}, the simple interest rate from t to t + 1, so that 1 monetary unit invested at t is worth 1 + r t at t + 1. Assume that r 0 is 1.5% and that r 1 takes the values 1% and 2% with probability 1/2.Denote by p(t, T ) the price at t of a zero-coupon bond with maturity T and face value 1.a) Write down p(0, 1) and p(1, 2) for the cases r 1 = 0.01 and r 1 = 0.02.b) Suppose a long zero-coupon bond with maturity T = 2 and face value 1 is traded for 0.969729 at t = 0.In this setup an equivalent martingale measure Q is characterized by the probability q = Q(r 1 = 0.01).Compute q from p(0, 2).c) Apply risk-neutral valuation to price a stylized floor contract which pays an amount of 1 if r 1 < r 0 .Note.In general, a floor contract is an option which provides protection against low interest rates.Exercise 2.10 (Mapping of a stock portfolio affected by exchange rates) Consider a portfolio P consisting of two stocks S t,1 , S t,2 , where S t,1 denotes the value of stock 1 in EUR and S t,2 denotes the value of stock 2 in CHF.Let e CHF t denote the CHF/EUR exchange rate at time t.In other words, 1 CHF is worth e CHF t EUR at t. Furthermore, denote by 1 and 2 the number of shares in stocks 1 and 2 in P, respectively.a) Derive the value V t in EUR of P at time t in terms of the risk factors Z t,j = log S t,j , j {1, 2}, and. What is the corresponding mapping?b) Derive the value V t+1 of P at time t + 1 and the one-period loss L t+1 .c) Derive the linearized one-period loss L t+1 and express it in terms of portfolio weights w 1 , w 2 (the values of each stock investment relative to the value V t of the overall portfolio).

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.003
metaresearch head score (Gemma)0.008
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Not applicable · Consensus signal: none
GenreCandidate signal: Other · Consensus signal: Other
Teacher disagreement score0.204
Threshold uncertainty score0.683

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0030.008
Meta-epidemiology (narrow)0.0010.001
Meta-epidemiology (broad)0.0010.001
Bibliometrics0.0020.002
Science and technology studies0.0010.001
Scholarly communication0.0040.004
Open science0.0020.002
Research integrity0.0020.002
Insufficient payload (model declined to judge)0.2040.079

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.477
GPT teacher head0.537
Teacher spread0.060 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designNot applicable
Domainnot available
GenreOther

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

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Citations0
Published2020
Admission routes1
Has abstractyes

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