Technical paper
Survival analysis in credit risk management: a review study
This paper offers a systematic literature review of survival analysis in credit risk assessment and suggests potential future avenues for research.
Uncertainty in the macroeconomic environment, corporate tax avoidance and corporate credit financing: evidence from high-tech listed companies in China
Default risk in the era of environmental, social and governance ratings: a comparative analysis of divergence
Estimating mean reversions in interest rate models
Enhancing organizational sustainability through human resource analytics: examining the moderating effect of organizational culture
Focussing on information-technology-based organizations, the authors investigate links between human resources analytics and organizational sustainability, finding HR analytics to enhance organizational sustainability.
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
Operational risk, capital regulation and model risk
The author proposes seven basic properties for operational risk modelling to form an operational risk management framework.
The robot-labeling phenomenon: robot-ready modern operational risk management
The author highlights misuse of the term "robot" in banking practice and the literature, proposes the robot-labelling phenomenon and recommends a shift in approaches to operational risk management to address challenges of the synthetic era.
Approximate risk parity with return adjustment and bounds for risk diversification
The authors approach diversifying risk contributions to improve returns by satisfying approximate risk parity and providing bounds on a risk spread (RS) metric that quantifies risk diversification and takes returns into account.
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Navigating risk horizons: a comprehensive bibliometric analysis of corporate risk management
The authors conduct a bibliometric analysis of 100 research papers to identify trends within corporate risk management.
The power of neural networks in stochastic volatility modeling
The authors apply stochastic volatility models to real-world data and demonstrate how effectively the models calibrate a range of options.
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
A tale of two tail risks
This paper investigates the relationship between banking credit risk and the financial market jump hazard rate, finding the two risks to have opposing behaviors.
The impact of divergence in communication tone on investors’ willingness to invest in eurozone small- to medium-sized enterprises
The authors analyze the tone of central bank communications and how this can impact investor readiness to invest in euro areas SMEs.
Fintech lending and firm bankruptcies
The authors use data from small business bankruptcy at a county level in California to investigate the impact of fintech lending.
Dissecting initial margin forecasts: models, limitations and backtesting
The authors demonstrate that initial margin is not value-at-risk, but its approximation, and suggest a generic backtesting and verification framework that accommodates both forecasting limitations and existing models.
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 risk modeling under the loss distribution approach: estimation of operational risk capital by business line versus risk category
The authors apply the loss distribution approach to operational risk data, contributing to understandings of the composition and distribution of operational risk data across risk classes and the corresponding operational risk capital requirements
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Operational risk and non-life insurers’ performance
The authors assess operational risk in the non-life-insurance sector, finding operational lapses and the cost–income ratio to have negative effects on premium growth and financial performance.
Lessons for academic research from model risk management in financial institutions
The authors suggest that model risk management practices used in financial institutions can be applied to academic research and enhance research outcomes.
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.
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income