Journals
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
Extreme value theory for heavy tails in electricity prices
This paper looks at hourly spot prices at the German electricity market and applies extreme value theory (EVT) to investigate the tails of the price change distribution.
The double default value-of-the-firm model
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Optimal trading with alpha predictors
This paper studies the problem of optimal trading using general alpha predictors with linear costs and temporary impact.
Operational risk: impact assessment of the revised standardized approach on Indian banks
This paper focuses on a comparison of the capital for Indian banks as required by the current regime for capital charge calculation, versus the possible revised Standardised Approach.
Probabilistic forecasting of medium-term electricity demand: a comparison of time series models
This paper focuses on medium-term probabilistic forecasting for risk management purposes.
The challenges of derivatives central counterparty interoperability arrangements
This paper stuides a relevant policy question: does interoperability of cash equity CCPs also imply that it is beneficial to introduce interoperability for derivative CCPs?
Reconciling factor optimization with portfolio constraints
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
Pricing options on trend-stationary currencies: applications to the Chinese yuan
This paper derives a closed-form version of a model with a trend-stationary, stochastic volatility exchange rate, using both a linear and quadratic trend.
Wavelet decomposition and applied portfolio management
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
This paper suggests simple and intuitive models for covered bonds that allow quantitative assessment of expected loss and the impact of asset encumbrance.
Operational loss with correlated frequency and severity: an analytical approach
To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
A network-based method for visual identification of systemic risks
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
Credit risk spillover between financials and sovereigns in the euro area, 2007–15
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Close communications: hedge funds, brokers and the emergence of a consensus trade
This paper examines the network of communication practices among hedge fund managers.
Outperforming benchmarks with their derivatives: theory and empirical evidence
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
Suboptimality in portfolio conditional value-at-risk optimization
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
Bank fraud and the macroeconomy
This paper empirically tests for correlations between fraud and the macroeconomy.
A maximum entropy approach to the loss data aggregation problem
This paper examines and compares alternative ways of solving the problem of determining the density of aggregate losses.
A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk
The objective of this paper is to compare numerical approximation techniques in terms of their practical usefulness and potential applicability in an operational risk context.
Evaluating operational risk by an inhomogeneous counting process based on Panjer recursion
This paper proposes a new approach for determining OpVaR using an inhomogeneous counting process based on Panjer recursion as the frequency distribution.
Central counterparties and banks: vive la difference
This paper highlight the key differences between CCPs and banks in terms of roles, risk profiles, balance sheets and systemic characteristics, and the implications of these differences for CCP risk management and regulation.
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment.
“Incomplete demutualization” and financial market infrastructure: central counterparty ownership and governance after the crisis of 2008–9
This paper examines risk management governance challenges of the demutualized CCP ownership model and the incentives faced by “incomplete demutualization”, where clearing members remain the ultimate underwriters of CCP default risk.