Journals
Calibration of temperature futures by changing the mean reversion
The authors of this paper study the calibration of futures contracts on temperature indexes.
A nonlinear analysis of operational risk events in Australian banks
This paper proposes a methodology applied to complex systems to analyze operational risk events in Australian banks.
Financial distress pre-warning indicators: a case study on Italian listed companies
This paper focuses on the ability of accounting ratios to predict the financial distress status of a firm as defined by the law.
Rethinking the margin period of risk
The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.
Do investors price industry risk? Evidence from the cross-section of the oil industry
This paper analyzes the case of commodity-dependent industries by testing in the case of the oil industry and analyzing whether oil exposure relates to the cross-section of returns.
Point-in-time probability of default term structure models for multiperiod scenario loss projection
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
Modeling energy spreads with a generalized novel mean-reverting stochastic process
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
International diversification through iShares and their rivals
In this paper, the authors investigate the diversification benefits of iShares and their rivals (CECFs and American depositary receipts) between April 1996 and December 2004.
Debt–liquidity shock risk: intertemporal effects and probability measures
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
Analytical method of computing stressed value-at-risk with conditional value-at-risk
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
The temporal dimension of risk
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
Granularity, a blessing in disguise: transaction cycles within real-time gross settlement systems
The authors of this paper take us into the world of granular time series data.
I want security: stylized facts about central counterparty collateral and its systemic context
In this paper, the authors introduce the principal policy issues affecting CCPs and collateral and then use these disclosures to contextualize some stylized facts that may aid in understanding and addressing the policy issues.
Smile with the Gaussian term structure model
This paper presents a natural extension of the LGM that keeps the affine structure and generates an implied volatility smile.
Error analysis in Fourier methods for option pricing
The authors provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic.
On optimizing risk exposures with trend-following strategies in currency overlay portfolios
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Optimal closing-price strategy: peculiarities and practicalities
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
Shortfall deviation risk: an alternative for risk measurement
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
The death of one thousand flowers or the AMA reborn?
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
Operational risk models and asymptotic normality of maximum likelihood estimation
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models.
Risk reduction in a time series momentum trading strategy
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.