Original research
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
A prudent loss given default estimation for mortgages. II
This paper introduces a prudent methodology to accurately estimates loss given default for mortgage portfolios and to stress test those portfolios effectively.
Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
This paper proposes an extension of the classical CARR model, the ACARR-MIDAS model, to model volatility and capture the volatility asymmetry as well as volatility persistence.
An examination of the tail contribution to distortion risk measures
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
Risk disclosures in annual reports: the role of nonfinancial companies listed on the Athens stock exchange
This study analyzes the risks disclosed by all nonfinancial companies listed on the Athens stock exchange by undertaking content analysis of their annual reports during the period 2005–11.
Cryptocurrency versus other financial instruments: how a small market affects a large market
This study analyzes the impact of cryptocurrencies on the function and position of financial markets.
Nonhomogeneous bivariate compound Poisson process with short-term periodicity
This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function.
A pricing model with dynamic credit rating transition matrixes
This paper incorporates a stochastic credit rating transition matrix into the Acharya–Das–Sundaram model and implements a simulation based pricing method
The value-at-risk of time-series momentum and contrarian trading strategies
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.
Ex-intrusion corporate cyber risk: evidence from internet protocol networks
This study examines IP address footprints as a proxy for cyber risks in public firms.
Forecasting consumer credit recovery failure: classification approaches
This study proposes an advanced credit evaluation method for nonperforming consumer loans, which may serve as a new investment opportunity in the post-pandemic era.
Fractional differencing: (in)stability of spectral structure and risk measures of financial networks
This paper studies how correcting for the order of differencing leads to altered filtering and risk computation for inferred networks.
A block-structured model for banking networks across multiple countries
This paper develops a block-structured model for the reconstruction of directed and weighted financial networks spanning multiple countries.
Correlation diversified passive portfolio strategy based on permutation of assets
This paper proposes a new idea to determine the adjustment weight vector in order to construct a passive portfolio with lower risk than the risk of the benchmark index.
A survey of machine learning in credit risk
This paper surveys the impressively broad range of machine learning methods and application areas for credit risk.
One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange
This paper constructs a model using weekly weather forecasts for forecasting week-ahead average electricity prices and applies it to an arbitrage strategy in the forward market.
Key impact deep dive (KIDD)
This paper proposes a KIDD (key impact deep dive) approach for assessing extreme risks based on assessing key impact types.
Monitoring intraday liquidity risks in a real-time gross settlement system
This paper proposes an intraday liquidity risk indicator (LRI) for each participant in a real-time gross settlement system (RTGS).
Impact of changes in the global environment on price differentials between the US crude oil spot markets for the periods before and after 2008–9
This paper uses threshold cointegration to examine price differentials between crude oil spot markets in the US for the periods before (2000–2007) and after (2010–17) the advent of major technological and other changes impacting the oil sector.
Validation nightmare: the slotting approach under International Financial Reporting Standard 9
This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework.
Quantization-based Bermudan option pricing in the foreign exchange world
This paper proposes two numerical solutions based on product optimal quantization for the pricing of Bermudan options on foreign exchange rates.
Deep learning for discrete-time hedging in incomplete markets
This paper presents several algorithms based on machine learning to solve hedging problems in incomplete markets.
A fractional Brownian–Hawkes model for the Italian electricity spot market: estimation and forecasting
This paper proposes a new model for the description and forecast of gross prices of electricity in the liberalized Italian energy market via an additive two-factor model.
The relationship between oil prices, global economic policy uncertainty and financial market stress
This paper introduces two models: the first analyzes the impacts of global economic policy uncertainty, gold prices and three-month US Treasury bill rates on oil prices between 1997 and 2020, and the second examines the effects of oil prices and US…