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Article: Risk, uncertainty, and leverage.

Istiak, Khandokar / Serletis, Apostolos

Economic modelling

2020 Volume 91, Page(s) 257–273

Abstract: ... that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase ... Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic ... banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase ...

Abstract	Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic, precaution, scary bad news, etc.), the current literature tries to clarify the risk/uncertainty-deleveraging pattern. The findings are not sufficient to explain the dynamic empirical relationship between modern risk/uncertainty indicators and leverage. We fill this gap in the literature by using US quarterly data, from 1985:1 to 2018:4, Granger causality tests, and a structural vector autoregression model. We find that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase. Client-based business relationships of banks and high government borrowing from banks during crises periods are responsible for this relationship. We find that the leverage of broker-dealers and shadow banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase. We argue that the vulnerability of broker-dealers and shadow banks to the risk/uncertainty of the entire market system is responsible for this relationship.
Keywords	covid19
Language	English
Publishing date	2020-06-26
Publishing country	England
Document type	Journal Article
ISSN	0264-9993
ISSN	0264-9993
DOI	10.1016/j.econmod.2020.06.010
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Article: Risk, uncertainty, and leverage

Istiak, Khandokar / Serletis, Apostolos

Economic Modelling

Abstract: ... that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase ... Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic ... declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase We argue ...

Abstract	Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic, precaution, scary bad news, etc ), the current literature tries to clarify the risk/uncertainty-deleveraging pattern The findings are not sufficient to explain the dynamic empirical relationship between modern risk/uncertainty indicators and leverage We fill this gap in the literature by using US quarterly data, from 1985:1 to 2018:4, Granger causality tests, and a structural vector autoregression model We find that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase Client-based business relationships of banks and high government borrowing from banks during crises periods are responsible for this relationship We find that the leverage of broker-dealers and shadow banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase We argue that the vulnerability of broker-dealers and shadow banks to the risk/uncertainty of the entire market system is responsible for this relationship
Keywords	covid19
Publisher	WHO
Document type	Article
Note	WHO #Covidence: #627777
Database	COVID19

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Book: Handbook of research on leveraging risk and uncertainties for effective project management

Raydugin, Yuri

(Advances in IT personnel and project management (AITPPM) book series)

2017

Abstract: ... challenges when implementing strategies and methods for managing risk in projects. Featuring innovative ... coverage across relevant topics, such as complexity theory, cost risk analysis and schedule risk analysis"-- ... This book is a comprehensive reference source for emerging perspectives on the benefits and ...

Title variant	Research on leveraging risk and uncertainties for effective project management
Author's details	Yuri Raydugin (Risk Services & Solutions Inc., Canada)
Series title	Advances in IT personnel and project management (AITPPM) book series
Abstract	"This book is a comprehensive reference source for emerging perspectives on the benefits and challenges when implementing strategies and methods for managing risk in projects. Featuring innovative coverage across relevant topics, such as complexity theory, cost risk analysis and schedule risk analysis"--
Keywords	Project management ; Risk management ; Risikomanagement ; Projektmanagement
Language	English
Size	xx, 503 Seiten, Illustrationen, 29 cm
Publisher	Business Science Reference
Publishing place	Hershey, PA, USA
Document type	Book
Note	Enthält 21 Beiträge
ISBN	9781522517900 ; 9781522517917 ; 1522517901 ; 152251791X
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Book ; Online: Handbook of research on leveraging risk and uncertainties for effective project management

Raydugin, Yuri

2017

Abstract: ... Mohammed Shafique Malik -- Complexity risk and modeling disorder / John K. Hollmann -- Complexity theory and s ... challenges when implementing strategies and methods for managing risk in projects. Featuring innovative ... Missed opportunities from misalignment of project and operational requirements / Mark F. Jarman, ...

Author's details	Yuri Raydugin
Abstract	"This book is a comprehensive reference source for emerging perspectives on the benefits and challenges when implementing strategies and methods for managing risk in projects. Featuring innovative coverage across relevant topics, such as complexity theory, cost risk analysis and schedule risk analysis"--Provided by publisher Missed opportunities from misalignment of project and operational requirements / Mark F. Jarman, Lachlan G. Dreher -- A holistic multi-criteria decision and risk analysis method for CCS and GHG mitigation projects / John Michale Humphries Choptiany -- Incorporating simulation in project scoping / Roy L. Nersesian -- Modeling risk and opportunity reality / Tom W. Townley -- Integrated risk-based and economic-based (IRBEB) methodology for selection of project alternatives / Yuri Raydugin Project risk management: popular fallacies and overlooked best practices / Yuri Raydugin -- Monte Carlo simulation for integrated cost-schedule risk analysis: concepts, methods, and tools for risk analysis and mitigation / David Todd Hulett -- Systemic risks and parametric modeling / John K. Hollmann -- The case for truly integrated cost and schedule risk analysis / Colin H. Cropley -- Monte Carlo project risk analysis / Ruchi Agarwal, Lev Virine -- Risk based contingency in project cost estimates / Mohammed Shafique Malik -- Complexity risk and modeling disorder / John K. Hollmann -- Complexity theory and system dynamics for project risk management / Robert J. Chapman -- Living on the edge: managing project complexity / Kathleen Barbara Hass -- Project complexity for the uninitiated / Saleem Gul, Terry Williams -- Getting to grips with behavioural bias: how projects fail and what to do about it / Geoff Trickey -- Improving objectivity in project risk management / Kailan Shang -- A fuzzy group decision-making approach to construction project risk management / Manoj Kumar -- Integration of project risk management (PRM) into enterprise risk management (ERM) / Ruchi Agarwal, Lev Virine -- Risk-centric performance measurement: deriving best value from performance management systems / Richard Carl Plumery -- Handling uncertainty in project management and business development: similarities and differences / Stefan Hartlieb, Gilbert Silvius
Keywords	Project management ; Risk management
Language	English
Size	1 Online-Ressource (xx, 503 pages)
Publisher	IGI Global
Publishing place	Hershey, PA
Document type	Book ; Online
Note	Includes bibliographical references and index
ISBN	1522517901 ; 152251791X ; 9781522517900 ; 9781522517917
Database	ECONomics Information System

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Book ; Online: Handbook of research on leveraging risk and uncertainties for effective project management

Raydugin, Yuri

2017

Institution	IGI Global
Author's details	Yuri Raydugin, editor
Abstract	"This book is a comprehensive reference source for emerging perspectives on the benefits and challenges when implementing strategies and methods for managing risk in projects. Featuring innovative coverage across relevant topics, such as complexity theory, cost risk analysis and schedule risk analysis"--Provided by publisher Missed opportunities from misalignment of project and operational requirements / Mark F. Jarman, Lachlan G. Dreher -- A holistic multi-criteria decision and risk analysis method for CCS and GHG mitigation projects / John Michale Humphries Choptiany -- Incorporating simulation in project scoping / Roy L. Nersesian -- Modeling risk and opportunity reality / Tom W. Townley -- Integrated risk-based and economic-based (IRBEB) methodology for selection of project alternatives / Yuri Raydugin Project risk management: popular fallacies and overlooked best practices / Yuri Raydugin -- Monte Carlo simulation for integrated cost-schedule risk analysis: concepts, methods, and tools for risk analysis and mitigation / David Todd Hulett -- Systemic risks and parametric modeling / John K. Hollmann -- The case for truly integrated cost and schedule risk analysis / Colin H. Cropley -- Monte Carlo project risk analysis / Ruchi Agarwal, Lev Virine -- Risk based contingency in project cost estimates / Mohammed Shafique Malik -- Complexity risk and modeling disorder / John K. Hollmann -- Complexity theory and system dynamics for project risk management / Robert J. Chapman -- Living on the edge: managing project complexity / Kathleen Barbara Hass -- Project complexity for the uninitiated / Saleem Gul, Terry Williams -- Getting to grips with behavioural bias: how projects fail and what to do about it / Geoff Trickey -- Improving objectivity in project risk management / Kailan Shang -- A fuzzy group decision-making approach to construction project risk management / Manoj Kumar -- Integration of project risk management (PRM) into enterprise risk management (ERM) / Ruchi Agarwal, Lev Virine -- Risk-centric performance measurement: deriving best value from performance management systems / Richard Carl Plumery -- Handling uncertainty in project management and business development: similarities and differences / Stefan Hartlieb, Gilbert Silvius --
Keywords	Project management ; Risk management
Language	English
Size	1 Online-Ressource (PDFs (503 pages)), illustrations
Publisher	IGI Global
Publishing place	Hershey, Pennsylvania (701 E. Chocolate Avenue, Hershey, PA 17033, USA)
Document type	Book ; Online
Note	Includes bibliographical references and index ; Restricted to subscribers or individual electronic text purchasers
ISBN	1522517901 ; 9781522517900 ; 9781522517917 ; 152251791X
Database	ECONomics Information System

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Article ; Online: Temporally organized representations of reward and risk in the human brain.

Man, Vincent / Cockburn, Jeffrey / Flouty, Oliver / Gander, Phillip E / Sawada, Masahiro / Kovach, Christopher K / Kawasaki, Hiroto / Oya, Hiroyuki / Howard Iii, Matthew A / O'Doherty, John P

Nature communications

2024 Volume 15, Issue 1, Page(s) 2162

Abstract: The value and uncertainty associated with choice alternatives constitute critical features relevant ... for decisions. However, the manner in which reward and risk representations are temporally organized ... risk domains reflect a mixture of sequential and parallel encoding. We further highlight the role ...

Abstract	The value and uncertainty associated with choice alternatives constitute critical features relevant for decisions. However, the manner in which reward and risk representations are temporally organized in the brain remains elusive. Here we leverage the spatiotemporal precision of intracranial electroencephalography, along with a simple card game designed to elicit the unfolding computation of a set of reward and risk variables, to uncover this temporal organization. Reward outcome representations across wide-spread regions follow a sequential order along the anteroposterior axis of the brain. In contrast, expected value can be decoded from multiple regions at the same time, and error signals in both reward and risk domains reflect a mixture of sequential and parallel encoding. We further highlight the role of the anterior insula in generalizing between reward prediction error and risk prediction error codes. Together our results emphasize the importance of neural dynamics for understanding value-based decisions under uncertainty.
MeSH term(s)	Humans ; Brain/diagnostic imaging ; Reward
Language	English
Publishing date	2024-03-09
Publishing country	England
Document type	Journal Article
ZDB-ID	2553671-0
ISSN	2041-1723 ; 2041-1723
ISSN (online)	2041-1723
ISSN	2041-1723
DOI	10.1038/s41467-024-46094-1
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Article: Risk-aversion, optimal leverage and the investment-uncertainty relation

Femminis, Gianluca

Metroeconomica : international review of economics ; Metroeconomica : international review of economics Vol. 57, No. 2 , p. 214-238

2006

Author's details	Gianluca Femminis
Keywords	Risikoaversion ; Kapitalstruktur ; Betriebliche Investitionstheorie ; Partielles Gleichgewicht ; Theorie ; Dynamisches Gleichgewicht
Language	English
Size	graph. Darst.
Publisher	Wiley-Blackwell
Publishing place	Oxford
Document type	Article
ZDB-ID	207789-9 ; 1473783-8
ISSN	1467-999X ; 0026-1386
ISSN (online)	1467-999X
ISSN	0026-1386
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Article ; Online: Investigating Machine Learning Techniques for Predicting Risk of Asthma Exacerbations: A Systematic Review.

Darsha Jayamini, Widana Kankanamge / Mirza, Farhaan / Asif Naeem, M / Chan, Amy Hai Yan

Journal of medical systems

2024 Volume 48, Issue 1, Page(s) 49

Abstract: ... the risk of asthma attacks to assist asthma control and management. A total of 860 studies were initially ... proposes a conceptual model to summarise how machine learning and available data sources can be leveraged ... The 20 studies used machine learning techniques to support future asthma risk prediction by using various ...

Abstract	Asthma, a common chronic respiratory disease among children and adults, affects more than 200 million people worldwide and causes about 450,000 deaths each year. Machine learning is increasingly applied in healthcare to assist health practitioners in decision-making. In asthma management, machine learning excels in performing well-defined tasks, such as diagnosis, prediction, medication, and management. However, there remain uncertainties about how machine learning can be applied to predict asthma exacerbation. This study aimed to systematically review recent applications of machine learning techniques in predicting the risk of asthma attacks to assist asthma control and management. A total of 860 studies were initially identified from five databases. After the screening and full-text review, 20 studies were selected for inclusion in this review. The review considered recent studies published from January 2010 to February 2023. The 20 studies used machine learning techniques to support future asthma risk prediction by using various data sources such as clinical, medical, biological, and socio-demographic data sources, as well as environmental and meteorological data. While some studies considered prediction as a category, other studies predicted the probability of exacerbation. Only a group of studies applied prediction windows. The paper proposes a conceptual model to summarise how machine learning and available data sources can be leveraged to produce effective models for the early detection of asthma attacks. The review also generated a list of data sources that other researchers may use in similar work. Furthermore, we present opportunities for further research and the limitations of the preceding studies.
MeSH term(s)	Humans ; Asthma/diagnosis ; Disease Progression ; Machine Learning ; Risk Assessment/methods
Language	English
Publishing date	2024-05-13
Publishing country	United States
Document type	Journal Article ; Systematic Review
ZDB-ID	423488-1
ISSN	1573-689X ; 0148-5598
ISSN (online)	1573-689X
ISSN	0148-5598
DOI	10.1007/s10916-024-02061-3
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Book ; Online: Credit Risk Meets Large Language Models

Sanz-Guerrero, Mario / Arroyo, Javier

Building a Risk Indicator from Loan Descriptions in P2P Lending

2024

Abstract: ... from the analysis of the Lending Club dataset show that the risk score generated by BERT, a widely used LLM ... significantly improves the performance of credit risk classifiers. However, the inherent opacity of LLM-based ... Language Model (LLM), a powerful tool capable of discerning patterns and semantics within the text ...

Abstract	Peer-to-peer (P2P) lending has emerged as a distinctive financing mechanism, linking borrowers with lenders through online platforms. However, P2P lending faces the challenge of information asymmetry, as lenders often lack sufficient data to assess the creditworthiness of borrowers. This paper proposes a novel approach to address this issue by leveraging the textual descriptions provided by borrowers during the loan application process. Our methodology involves processing these textual descriptions using a Large Language Model (LLM), a powerful tool capable of discerning patterns and semantics within the text. Transfer learning is applied to adapt the LLM to the specific task at hand. Our results derived from the analysis of the Lending Club dataset show that the risk score generated by BERT, a widely used LLM, significantly improves the performance of credit risk classifiers. However, the inherent opacity of LLM-based systems, coupled with uncertainties about potential biases, underscores critical considerations for regulatory frameworks and engenders trust-related concerns among end-users, opening new avenues for future research in the dynamic landscape of P2P lending and artificial intelligence.
Keywords	Quantitative Finance - Risk Management ; Computer Science - Artificial Intelligence ; Computer Science - Computation and Language ; Computer Science - Machine Learning
Subject code	332
Publishing date	2024-01-29
Publishing country	us
Document type	Book ; Online
Database	BASE - Bielefeld Academic Search Engine (life sciences selection)

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Book ; Online: Non-Exchangeable Conformal Risk Control

Farinhas, António / Zerva, Chrysoula / Ulmer, Dennis / Martins, André F. T.

2023

Abstract: ... in expectation. In this paper, we leverage and extend these two lines of work by proposing non-exchangeable ... formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring ... conformal risk control, which allows controlling the expected value of any monotone loss function ...

Abstract	Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing the actual ground truth. While the original formulation assumes data exchangeability, some extensions handle non-exchangeable data, which is often the case in many real-world scenarios. In parallel, some progress has been made in conformal methods that provide statistical guarantees for a broader range of objectives, such as bounding the best $F_1$-score or minimizing the false negative rate in expectation. In this paper, we leverage and extend these two lines of work by proposing non-exchangeable conformal risk control, which allows controlling the expected value of any monotone loss function when the data is not exchangeable. Our framework is flexible, makes very few assumptions, and allows weighting the data based on its relevance for a given test example; a careful choice of weights may result on tighter bounds, making our framework useful in the presence of change points, time series, or other forms of distribution drift. Experiments with both synthetic and real world data show the usefulness of our method. Comment: ICLR 2024
Keywords	Computer Science - Machine Learning ; Statistics - Machine Learning
Subject code	310
Publishing date	2023-10-02
Publishing country	us
Document type	Book ; Online
Database	BASE - Bielefeld Academic Search Engine (life sciences selection)

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