Journals
Incorporating financial reports and deep learning for financial distress prediction: empirical evidence from Chinese listed companies
The authors investigate the use of text information processing methods for financial distress prediction and how this method can be combined with traditional means to improve prediction accuracy.
Operational risks: trends and challenges
The authors carry out a systematic literature review of operational risk research to determine the current state of operational risk research in financial institutions.
Pricing time-capped American options using a least squares Monte Carlo method
This paper uses a modified least squares Monte Carlo method to price time-capped American options.
Determination of the fraction of losses and their probabilities by type of risk and business line from aggregate loss data
This paper proposes a novel means to derive the individual loss severities and the frequency of these losses per business line and risk type.
The effects of climate transition risk on an investment portfolio
The author proposes a means to value portfolios under a climate transition stress test, showing which sectors are likely to be more severely impacted by a transition to a net-zero economy.
Earnings moves and pre-earnings implied volatility
The authors investigate the relationship between return realizations and pre-earnings implied volatility, finding the distribution of returns over earnings windows to be symmetrical.
The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach
The authors put forward a machine learning model for the prediction of mortgage prepayment risks at the loan origination phase.
Herding behavior in energy commodity futures markets amid turmoil and turmoil-free periods
This paper extends typical research on herding behavior to commodity futures markets, investigating five markets and finding herding behavior during the global financial crisis and at the beginning of the Russia - Ukraine conflict.
Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method
The authors investigate the problem of pricing American options under an irrational strategy, putting forward a method to negate this problem and demonstrate the performance of this model against alternatives.
Deep equal risk pricing of illiquid derivatives with multiple hedging instruments
The authors propose the using equal risk pricing for market-consistent valuation of illiquid financial derivatives, transferring information in liquid hedging strategy prices into the price of the illiquid derivative.
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.
Optimal trade execution with unknown drift
This paper demonstrates a means through which to adapt results for optimal trading strategies under different conditions when the drift of the asset is unknown.
Advanced visualization for the quant strategy universe: clustering and dimensionality reduction
The authors present a novel visualisation model, based on 5000 quantitative investment strategies, which can identify nonlinear relationships and clustering strategies with similar risk factor exposures.
Expectile risk quadrangles and applications
The authors study the expectile risk measure within the fundamental risk quadrangle framework, constructing a new quadrangle where the expectile is both a statistic and a risk measure.
Retail payment technology and money demand: evidence from China
Using evidence from China between 1999 and 2020, the authors investigate the impact of retail payment technology on money demand.
Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
The authors use textual data in a model to predict financial distress, demonstrating that this can enhance prediction outcome versus traditional financial data alone.
On the boundary conditions adopted in stochastic volatility option pricing models
The authors recommend boundary conditions that should be adopted when pricing European- and American-style options under the Heston model.
Using option prices to trade the underlying asset
The authors propose strategies with which to trade the underlying assets of options based on large data sets generated by options trading.
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
Multiperiod static hedging of European options
The authors extend the approach of Carr and Wu (2014) to cover options over multiple short maturities and demonstrate a practical application of their proposed method.
Bonus caps and bankers’ risk-taking
The authors investigate the relationship between bankers' risk-taking and bonus caps, finding negligible evidence that bonus caps reduce risk taking at the median bank.