{"id":"https://openalex.org/W7134967149","doi":"https://doi.org/10.1109/icdmw69685.2025.00027","title":"Bayesian Modeling for Uncertainty Management in Financial Risk Forecasting and Compliance","display_name":"Bayesian Modeling for Uncertainty Management in Financial Risk Forecasting and Compliance","publication_year":2025,"publication_date":"2025-11-12","ids":{"openalex":"https://openalex.org/W7134967149","doi":"https://doi.org/10.1109/icdmw69685.2025.00027"},"language":null,"primary_location":{"id":"doi:10.1109/icdmw69685.2025.00027","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icdmw69685.2025.00027","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2025 IEEE International Conference on Data Mining Workshops (ICDMW)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5011984666","display_name":"Sharif Abdullah Al Mamun","orcid":null},"institutions":[{"id":"https://openalex.org/I4210140062","display_name":"Knexus Research (United States)","ror":"https://ror.org/044a15h91","country_code":"US","type":"company","lineage":["https://openalex.org/I4210140062"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Sharif Al Mamun","raw_affiliation_strings":["iLynx Inc.,Springfield,Virginia,USA"],"affiliations":[{"raw_affiliation_string":"iLynx Inc.,Springfield,Virginia,USA","institution_ids":["https://openalex.org/I4210140062"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5123653794","display_name":"Rakib Hossain","orcid":null},"institutions":[{"id":"https://openalex.org/I4210094981","display_name":"Community Link","ror":"https://ror.org/00mssm162","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I4210094981"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Rakib Hossain","raw_affiliation_strings":["Cognitive Links,Dhaka,Bangladesh"],"affiliations":[{"raw_affiliation_string":"Cognitive Links,Dhaka,Bangladesh","institution_ids":["https://openalex.org/I4210094981"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084397037","display_name":"Md. Jobayer Rahman","orcid":null},"institutions":[{"id":"https://openalex.org/I63169043","display_name":"United International University","ror":"https://ror.org/01tqv1p28","country_code":"BD","type":"education","lineage":["https://openalex.org/I63169043"]}],"countries":["BD"],"is_corresponding":false,"raw_author_name":"Md. Jobayer Rahman","raw_affiliation_strings":["United International University,Dhaka,Bangladesh"],"affiliations":[{"raw_affiliation_string":"United International University,Dhaka,Bangladesh","institution_ids":["https://openalex.org/I63169043"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5128704706","display_name":"Malay Kumar Devnath","orcid":null},"institutions":[{"id":"https://openalex.org/I79272384","display_name":"University of Maryland, Baltimore County","ror":"https://ror.org/02qskvh78","country_code":"US","type":"education","lineage":["https://openalex.org/I79272384"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Malay Kumar Devnath","raw_affiliation_strings":["University of Maryland, Baltimore County,Baltimore,Maryland,USA"],"affiliations":[{"raw_affiliation_string":"University of Maryland, Baltimore County,Baltimore,Maryland,USA","institution_ids":["https://openalex.org/I79272384"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5128723173","display_name":"Farhana Afroz","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Farhana Afroz","raw_affiliation_strings":["Washington University of Science and Technology,Virginia,USA"],"affiliations":[{"raw_affiliation_string":"Washington University of Science and Technology,Virginia,USA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5124071780","display_name":"Lisan Al Amin","orcid":null},"institutions":[{"id":"https://openalex.org/I4210094981","display_name":"Community Link","ror":"https://ror.org/00mssm162","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I4210094981"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Lisan Al Amin","raw_affiliation_strings":["Cognitive Links,Baltimore,USA"],"affiliations":[{"raw_affiliation_string":"Cognitive Links,Baltimore,USA","institution_ids":["https://openalex.org/I4210094981"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":6,"corresponding_author_ids":["https://openalex.org/A5011984666"],"corresponding_institution_ids":["https://openalex.org/I4210140062"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.83363126,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"178","last_page":"186"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.22499999403953552,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.22499999403953552,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.07039999961853027,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11303","display_name":"Bayesian Modeling and Causal Inference","score":0.060100000351667404,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.5098999738693237},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.49410000443458557},{"id":"https://openalex.org/keywords/compliance","display_name":"Compliance (psychology)","score":0.36390000581741333},{"id":"https://openalex.org/keywords/bayesian-inference","display_name":"Bayesian inference","score":0.33730000257492065},{"id":"https://openalex.org/keywords/uncertainty-analysis","display_name":"Uncertainty analysis","score":0.31459999084472656},{"id":"https://openalex.org/keywords/risk-assessment","display_name":"Risk assessment","score":0.3142000138759613}],"concepts":[{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.5098999738693237},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.49410000443458557},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4320000112056732},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.424699991941452},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.37139999866485596},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3700000047683716},{"id":"https://openalex.org/C2781460075","wikidata":"https://www.wikidata.org/wiki/Q1399332","display_name":"Compliance (psychology)","level":2,"score":0.36390000581741333},{"id":"https://openalex.org/C160234255","wikidata":"https://www.wikidata.org/wiki/Q812535","display_name":"Bayesian inference","level":3,"score":0.33730000257492065},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.31790000200271606},{"id":"https://openalex.org/C177803969","wikidata":"https://www.wikidata.org/wiki/Q29205","display_name":"Uncertainty analysis","level":2,"score":0.31459999084472656},{"id":"https://openalex.org/C12174686","wikidata":"https://www.wikidata.org/wiki/Q1058438","display_name":"Risk assessment","level":2,"score":0.3142000138759613},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31360000371932983},{"id":"https://openalex.org/C76073288","wikidata":"https://www.wikidata.org/wiki/Q1337875","display_name":"Financial risk","level":2,"score":0.2793000042438507},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.26899999380111694},{"id":"https://openalex.org/C32230216","wikidata":"https://www.wikidata.org/wiki/Q7882499","display_name":"Uncertainty quantification","level":2,"score":0.26820001006126404},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.2653000056743622},{"id":"https://openalex.org/C163068380","wikidata":"https://www.wikidata.org/wiki/Q3409313","display_name":"Economic forecasting","level":2,"score":0.25429999828338623},{"id":"https://openalex.org/C122282355","wikidata":"https://www.wikidata.org/wiki/Q7246855","display_name":"Probabilistic forecasting","level":3,"score":0.25360000133514404}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icdmw69685.2025.00027","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icdmw69685.2025.00027","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2025 IEEE International Conference on Data Mining Workshops (ICDMW)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W2031988475","https://openalex.org/W2037126904","https://openalex.org/W2066628672","https://openalex.org/W2101893470","https://openalex.org/W2173476375","https://openalex.org/W2217402295","https://openalex.org/W2467634557","https://openalex.org/W2767704282","https://openalex.org/W2921896138","https://openalex.org/W2924214517","https://openalex.org/W2965618033","https://openalex.org/W3124467146","https://openalex.org/W3203881937","https://openalex.org/W4248681815","https://openalex.org/W4291910381","https://openalex.org/W4388319945","https://openalex.org/W4404391248","https://openalex.org/W4407320030","https://openalex.org/W4408358656"],"related_works":[],"abstract_inverted_index":{"A":[0],"Bayesian":[1,120],"analytics":[2],"framework":[3,172],"that":[4,21,86],"precisely":[5],"quantifies":[6],"uncertainty":[7,149],"offers":[8],"a":[9,60,95,110,131],"significant":[10],"advance":[11],"for":[12,127],"financial":[13],"risk":[14,27,141,175],"management.":[15],"We":[16,44],"develop":[17],"an":[18,68,87],"integrated":[19],"approach":[20],"consistently":[22],"enhances":[23],"the":[24,46,171],"handling":[25],"of":[26,48,78,117],"in":[28],"market":[29],"volatility":[30],"forecasting,":[31],"fraud":[32,128,164],"detection,":[33,129],"and":[34,67,81,125,130,138,152,166,186],"compliance":[35,140,168],"monitoring.":[36],"Our":[37,104],"probabilistic,":[38],"interpretable":[39],"models":[40],"deliver":[41],"reliable":[42],"results:":[43],"evaluate":[45],"performance":[47],"one-day-ahead":[49],"95%":[50],"Value-at-Risk":[51],"(VaR)":[52],"forecasts":[53],"on":[54],"daily":[55],"S&P":[56],"500":[57],"returns,":[58],"with":[59,98,115],"training":[61],"period":[62,71],"from":[63],"2000":[64],"to":[65,74,157],"2019":[66],"out-of-sample":[69],"test":[70],"spanning":[72],"2020":[73],"2024.":[75],"Formal":[76],"tests":[77],"unconditional":[79],"(Kupiec)":[80],"conditional":[82],"(Christoffersen)":[83],"coverage":[84],"reveal":[85],"LSTM":[88],"baseline":[89],"achieves":[90],"near-nominal":[91],"calibration.":[92],"In":[93],"contrast,":[94],"GARCH(1,1)":[96],"model":[97,108,135],"Student-t":[99],"innovations":[100],"underestimates":[101],"tail":[102],"risk.":[103],"proposed":[105],"discount-factor":[106],"DLM":[107],"produces":[109],"slightly":[111],"liberal":[112],"VaR":[113],"estimate,":[114],"evidence":[116],"clustered":[118],"violations.":[119],"logistic":[121],"regression":[122],"improves":[123],"recall":[124],"AUC-ROC":[126],"hierarchical":[132],"Beta":[133],"state-space":[134],"provides":[136],"transparent":[137],"adaptive":[139],"assessment.":[142],"The":[143],"pipeline":[144],"is":[145],"distinguished":[146],"by":[147],"precise":[148],"quantification,":[150],"interpretability,":[151],"GPU-accelerated":[153],"analysis,":[154],"delivering":[155],"up":[156],"50x":[158],"speedup.":[159],"Remaining":[160],"challenges":[161],"include":[162],"sparse":[163],"data":[165],"proxy":[167],"labels,":[169],"but":[170],"enables":[173],"actionable":[174],"insights.":[176],"Future":[177],"expansion":[178],"will":[179],"extend":[180],"feature":[181],"sets,":[182],"explore":[183],"regime-switching":[184],"priors,":[185],"enhance":[187],"scalable":[188],"inference.":[189]},"counts_by_year":[],"updated_date":"2026-03-13T14:20:09.374765","created_date":"2026-03-12T00:00:00"}