Daulet Smagulov | Searcharxiv

arXiv2019

Cyber bonds and their pricing models

Motivated by the developments in cyber risk treatment in the finance industry, we propose a general framework of cyber bond, whose main purpose is to insure (compensate) losses of a cyber attack. Based on a database of publicly available cyber events, we determine cyber loss distribution parameters and use them to numerically simulate cyber bond price, yield, and other characteristics. We also consider two possible approaches to cyber bond coupon calculation.

q-fin.RM↗

arXiv2017

Portfolio Risk Assessment using Copula Models

In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the optimal mean-$CVaR$ portfolio we compute portfolio's Profit and Loss series and corresponded risk measures curves. Value-at-risk and Conditional-Value-at-risk curves were simulated by three copula models: full Gaussian, Student's $t$ and regular vine copula. These risk curves are lower than historical values of the risk measures curve. All three models have superior prediction ability than a usual empirical method. Further directions of research are described.

q-fin.RM↗