Original research
Are all collections equal? The case of medical debt
This paper examines the predictive value of medical collections in assessing consumer creditworthiness with credit scoring models.
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Liquidity stress testing: a model for a portfolio of credit lines
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.
AERB: developing AIRB PIT–TTC PD models using external ratings
In this paper, the authors show how one can use a certain class of models for modeling portfolios such as large corporates, banks and insurance companies.
A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
The authors of this paper develop a modeling framework that can incorporate mean-reverting scenarios into any scenario-based forecasting model.
Under the radar: structural alpha in the small-cap equity market
This paper identifies a number of structural inefficiencies in the US small-cap equity market that may be exploited to generate alpha.
The dynamics of energy futures and equity sectors: evidence from the United States and Canada
This paper investigates a sector-rotation strategy in order to elucidate two congruent objectives.
Diffusing explosive portfolio performance evaluation of high frequency traders
This paper introduces an efficient Sharpe ratio (ESR) that diffuses explosive ASRs for HFT so that they are comparable to SRs for other actively managed funds.
Facilitating appropriate compensation of electric energy and reserve through standardized contracts with swing
This study focuses on standardized energy and reserve contracts with swing (flexibility) in their contractual terms.
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature.
Calculation of a term structure power price equilibrium with ramping constraints
This paper proposes a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices.
Default risk of money-market fund portfolios
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
Does bonus deferral reduce risk-taking?
This paper characterizes continuous-time risk-taking.
Loss distributions: computational efficiency in an extended framework
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
Electricity futures prices: time-varying sensitivity to fundamentals
This paper looks at the time-varying relation between electricity futures prices and fundamentals.
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Stop-outs under serial correlation and the triple penance rule
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.
What is the best risk measure in practice? A comparison of standard measures
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Importance sampling for jump processes and applications to finance
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
Application of the convolution operator for scenario integration with loss data in operational risk modeling
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
A comparison of alternative mixing models for external data in operational risk
This paper studies alternative mixing models for external data for a particular risk class.