Publications related to Value at risk

On the Generalization of Stochastic Gradient Descent with Momentum

While momentum-based accelerated variants of stochastic gradient descent (SGD) are widely used when training machine learning models, there is little theoretical understanding on the generalization error of such methods. In this work, we first show that th ...

Microtome Publishing2024

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

Peak Value-at-Risk Estimation for Stochastic Differential Equations using Occupation Measures

Matteo Raphael Tacchi

This paper proposes an algorithm to upper-bound maximal quantile statistics of a state function over the course of a Stochastic Differential Equation (SDE) system execution. This chance-peak problem is posed as a nonconvex program aiming to maximize the Va ...

IEEE2023

Challenging the Assumptions: Rethinking Privacy, Bias, and Security in Machine Learning

Bogdan Kulynych

Predictive models based on machine learning (ML) offer a compelling promise: bringing clarity and structure to complex natural and social environments. However, the use of ML poses substantial risks related to the privacy of their training data as well as ...

EPFL2023

Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method

Fabio Nobile, Sundar Subramaniam Ganesh

In this work, we tackle the problem of minimising the Conditional-Value-at-Risk (CVaR) of output quantities of complex differential models with random input data, using gradient-based approaches in combination with the Multi-Level Monte Carlo (MLMC) method ...

2023

Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

Maryam Kamgarpour, Kai Ren

We tackle safe trajectory planning under Gaussian mixture model (GMM) uncertainty. Specifically, we use a GMM to model the multimodal behaviors of obstacles' uncertain states. Then, we develop a mixed-integer conic approximation to the chance-constrained t ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2022

Multi-Level Monte Carlo Methods for Uncertainty Quantification and Risk-Averse Optimisation

Sundar Subramaniam Ganesh

This work aims to study the effects of wind uncertainties in civil engineering structural design. Optimising the design of a structure for safety or operability without factoring in these uncertainties can result in a design that is not robust to these per ...

EPFL2022

Quantifying uncertain system outputs via the multi-level Monte Carlo method --- distribution and robustness measures

Fabio Nobile, Sebastian Krumscheid, Sundar Subramaniam Ganesh

In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential models by the MLM ...

2023

Biomechanical Measures for Fall Risk Assessment and Fall Detection in People with Transfemoral Amputations for the Next-Generation Prostheses: A Scoping Review

Silvestro Micera

Introduction: Transfemoral amputations are known to compromise balance control capabilities, thus increasing the probability of falling. Current research in robotic prostheses is exploring novel strategies to assess the risk of fall and, if required, enabl ...

LIPPINCOTT WILLIAMS & WILKINS2022

Technology Strategy in Dynamic Environments: A Computational Analysis of the Automation of Routines, the Organization of AI, and the Evaluation of Technology Risk

Maximilian Wieland Hofer

In this dissertation, I develop theory and evidence to argue that new technologies are central to how firms organize to create and capture value. I use computational methods such as reinforcement learning and probabilistic topic modeling to investigate thr ...

EPFL2022

On Approximations of Data-Driven Chance Constrained Programs over Wasserstein Balls

Daniel Kuhn, Zhi Chen, Wolfram Wiesemann

Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem parameters affec ...

2023

A contagion process with self-exciting jumps in credit risk applications

Puneet Pasricha

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

TAYLOR & FRANCIS LTD2022

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

EPFL2021

Estimating and predicting snakebite risk in the Terai region of Nepal through a high-resolution geospatial and One Health approach

Stéphane Joost

Most efforts to understand snakebite burden in Nepal have been localized to relatively small areas and focused on humans through epidemiological studies. We present the outcomes of a geospatial analysis of the factors influencing snakebite risk in humans a ...

Nature Portfolio2021

Developing a UV climatology for public health purposes using satellite data

Athanasios Nenes, David Vernez

The effects of solar ultraviolet (UV) radiation on life on Earth differ greatly. While overexposure to UV rays is harmful, small amounts of exposure are necessary for the synthesis of Vitamin D and good health. To optimize individual exposure to solar UV, ...

2021

Epidemic mitigation by statistical inference from contact tracing data

Florent Gérard Krzakala, Lenka Zdeborová, Maria Refinetti, Indaco Biazzo, Giovanni Catania

Contact tracing is an essential tool to mitigate the impact of a pandemic, such as the COVID-19 pandemic. In order to achieve efficient and scalable contact tracing in real time, digital devices can play an important role. While a lot of attention has been ...

National Academy of Sciences2021

A Pareto Dominance Principle for Data-Driven Optimization

Daniel Kuhn, Tobias Sutter

We propose a statistically optimal approach to construct data-driven decisions for stochastic optimization problems. Fundamentally, a data-driven decision is simply a function that maps the available training data to a feasible action. It can always be exp ...

2024

Covid-19 contact tracing: efficacy and privacy

This article assesses the risk-risk trade-off between privacy and efficacy that the use of contact tracing apps entails. It argues for the use of privacy-preserving apps, but highlights potential weaknesses and cautions against allowing digital tracing to ...

EPFL2020

Short-term debt and incentives for risk-taking

Erwan Morellec, Francesca Maria Zucchi

We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...

ELSEVIER SCIENCE SA2020

Impact of facade details on the reliability of performance-based decisions for early-stage neighborhood designs

Minu Agarwal

Neighborhood-scale projects often commence with the conceptualization of several massing-schemes as potential design solutions. There is growing interest in using building performance simulation (BPS) to evaluate and rank such conceptual stage schemes in o ...

EPFL2020