Journals
Truncated lognormals as a power-law mimic in operational risk
This paper makes use of the power-law mimicry properties of the truncated lognormal distribution and shows how they fit operational risk data considerably well.
Which risk–collateral channels affect loan management?
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.
A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
Mitigating rogue-trading behavior by means of appropriate, effective operational risk management
This paper discusses the violation of applicable firm guidelines by individuals employed by a bank or financial institution and suggests specific metrics to identify and prevent such behaviour.
The informational role of spot prices and inventories
The authors of this paper argue that fundamental determinants of speculative futures trading may have been misinterpreted by some as “excessive” speculation in the energy markets in recent years.
Risk evaluation of wind turbine investments
This paper assesses the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power.
Estimation of risk measures on electricity markets with fat-tailed distributions
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
Covered option strategies in Nordic electricity markets
This paper deals with the performance of popular option strategies in the Nordic power derivatives market.
Regulatory and supervisory deference in the context of Australia’s over-the-counter derivative trade reporting and derivative trade repositories regimes
This paper provides an Australian regulatory perspective on the over-the-counter landscape and shows how regulatory deference can play a facilitating role in the cross-border context.
Central counterparties: addressing their too-important-to-fail nature
This paper argues that the current international policy measures with respect to central counterparties (CCPs) only partly address the systemic risk posed by CCPs.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis
This paper evaluates the Korean repo market in the light of the global financial crisis.
Group lending to a borrower network: a partial joint liability model
This paper uses network theory to develop models for credit decisions in group lending schemes.
Banknote printing in a less-cash society: innovate or not?
Leo Van Hove investigates a less-cash society from the perspective of a central bank
Too interconnected to fail: a survey of the interbank networks literature
This paper systematically reviews the theoretical literature on interbank networks.
Credit risk: taking fluctuating asset correlations into account
This paper puts forward an ensemble approach for asset correlations.
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Counting processes for retail default modeling
The article discusses the use of counting processes for retail (mortgage) default modeling.
A novel Fourier transform B-spline method for option pricing
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Commodity risk hedging through risk sharing: reengineering Islamic forwards
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.