Publications associées à Risque de marché

Using automated design appraisal to model building-specific devaluation risk due to land-use change

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

2024

On the Generalization of Stochastic Gradient Descent with Momentum

Volkan Cevher, Kimon Antonakopoulos

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

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development

Adam Robert Swietek

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

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

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

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

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

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

Crash test-based assessment of injury risks for adults and children when colliding with personal mobility devices and service robots

Aude Billard, Diego Felipe Paez Granados

Autonomous mobility devices such as transport, cleaning, and delivery robots, hold a massive economic and social benefit. However, their deployment should not endanger bystanders, particularly vulnerable populations such as children and older adults who ar ...

Nature Publishing Group2022