Technical paper
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
The impact of economic sentiment on financial portfolios during the recent turmoil
The authors investigate the influence of economic sentiment on financial portfolios during Covid-19 and the Russia-Ukraine conflict before conducting a portfolio management analysis on their data.
Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic
The authors analyse the investment performance of collectible watches for the period 1999 - 2020, finding they outperformed the S&P 500 index and other luxury collectible goods.
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
A multidimensional transform for pricing American options under stochastic volatility models
The authors put forward a transform-based method for pricing American options which is computationally efficient and accurate under under low-dimensional stochastic volatility models.
A simple local correlation model
This paper puts forward a novel kind of "local-in-index" model which allows easier computation of Greeks.
An equity-implied rating model for unrated firms
The authors use Merton's distance to default as the basis for new model with which to assign credit ratings to firms which are not traditionally rated.
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework
This paper puts forward a novel insurance and illustrate the impact of model parameters on optimal investment strategies.
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Examining sustainability investments and financial performance of football clubs: an empirical analysis
The authors investigate how sustainability investments, financial leverage and growth rates impact the stock rate returns of football clubs.
Revenue analysis of spot and forward solar energy sales in Texas
The study uses Texas's wholesale electricity market data to forecast solar energy prices and analyze revenue forecasts for solar plants, finding that short-term solar power purchase agreements and relative levels of forward and spot energy prices…
Key indicators for the credit risk evaluation of clients and their changing characteristics
The authors propose a credit risk evaluation model for energy performance contracting projects with debt- paying ability and long-term capital debt ratio as optimal indicators.
Securities and Exchange Commission Form 13F Holdings Report: statistical investigation of trading imbalances and profitability analysis
The authors argue that trading against SEC Form 13F-HR imbalances can prove a profitable strategy due to the inflation of related asset prices.
Design risk: the curse of constant proportion portfolio insurance
The authors propose the concept of design risk and highlight how inadequately designed structured products or investment strategies can leave investors exposed to unintended risks.
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.
The impact of greenhouse gas aversion on optimal portfolios
The author applies greenhouse gas aversion to the mean-variance portfolio framework and proposes a new portfolio performance measure for greenhouse-gas-averse investors.
Just solve it: a simple method to improve the design and performance of liquidity-saving mechanisms
The authors put forward a novel LSM algorithm and compare its performance with two of the best known offsetting algorithms.
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Financial distress prediction with optimal decision trees based on the optimal sampling probability
The authors propose and validate a tree-based ensemble model for financial distress prediction which is demonstrated to outperform comparative models.
Centralized and decentralized payments networks: a simple cost comparison
This paper seeks to determine the feasibility of a widespread adoption of cryptocurrencies in payments by comparing centralized payments systems with cryptocurrencies.
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented