Most Recent Articles: Probability, Uncertainty and Quantitative Riskhttps://probability-risk.springeropen.comMost Recent Articles: Probability, Uncertainty and Quantitative RiskCharacterization of optimal feedback for stochastic linear quadratic control problemshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0022-7One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the study of deterministic linear quadratic control proble...ResearchWed, 27 Sep 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0022-7Qi Lü, Tianxiao Wang and Xu Zhang2017-09-27T00:00:00ZOn the compensator of the default process in an information-based modelhttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0017-4This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a frame...ResearchMon, 11 Sep 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0017-4Matteo Ludovico Bedini, Rainer Buckdahn and Hans-Jürgen Engelbert2017-09-11T00:00:00ZMeasure distorted arrival rate risks and their rewardshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0021-8Risks embedded in asset price dynamics are taken to be accumulations of surprise jumps. A Markov pure jump model is formulated on making variance gamma parameters deterministic functions of the price level. Es...ResearchMon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0021-8Dilip B. Madan2017-06-26T00:00:00ZCredit, funding, margin, and capital valuation adjustments for bilateral portfolioshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0019-2We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of (Albanese and Crépey2017), whereby so-called contra-liabilities and cost of capital are charged b...ResearchMon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0019-2Claudio Albanese, Simone Caenazzo and Stéphane Crépey2017-06-26T00:00:00ZThe joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networkshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0020-9The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a p...ResearchMon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0020-9Stefan Weber and Kerstin Weske2017-06-26T00:00:00Z