Technical paper
The customer settlement risk externality at US securities central counterparties
This paper highlights an externality in the clearing of customer securities trades, and it examines the potential benefits and costs of alternative clearing approaches.
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Technology risk management in fintech: underlying mechanisms and challenges
This study focuses on the foundational technology of fintech to address the challenges posed by its specific form of risk.
Modeling the exit cashflows of private equity fund investments
This paper analyzes the realized exit cashflows of individual portfolio companies in a joint modeling framework that describes both the exit timing and the exit performance.
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
This paper analyzes the impact of oil market uncertainty on the level, slope and curvature factors derived from the term structure of US interest rates.
Dynamics of biofuel prices on the European market: the impact of EU environmental policy on resources markets
This paper explains the major drivers of biodiesel market prices by examining agricultural resource prices and gasoil prices for automotive fuels in the context of European Union environmental policy.
Oil value-at-risk forecasts: a filtered semiparametric approach
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Automated market-making for fiat currencies
A framework to exchange fiat currencies on-chain consistently with off-chain prices is presented
Portfolio rebalancing and seasonality in Canadian financial markets
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
A factor-based risk model for multifactor investment strategies
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Large vector autoregressive exogenous factor (VARX) model with network regularization
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Modeling credit risk in the presence of central bank and government intervention
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
Market efficiency and volatility within and across cryptocurrency benchmark indexes
This paper examines the way that market efficiency and volatility clustering in the cryptocurrency markets can be inferred from benchmark index performance.
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
Technical indicator selection and trading signal forecasting: varying input window length and forecast horizon for the Pakistan Stock Exchange
This paper investigates how input window length and forecast horizon affect the predictive performance of a trading signal prediction system.
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Abnormal returns and stock price movements: some evidence from developed and emerging markets
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for developed and emerging markets from 2010 up until 2020.
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
Pricing barrier options with deep backward stochastic differential equation methods
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic differential equations.