Technical paper
Energy trading efficiency in ERCOT’s day-ahead and real-time electricity markets
This paper uses hourly prices to study energy trading efficiency in ERCOT's electricity markets and proposes means to improve trading efficiency and investment inventive.
Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices
This paper investigates the impact of wind energy updates on intraday prices and proposes the use of merit-order-based models to counter price uncertainties stemming from updates.
Risks of long-term auto loans
The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
Forecasting the realized volatility of stock markets with financial stress
This paper investigates the impact of financial stress on the predictability of the realized volatility of five stock markets
Counterparty risk allocation
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
Risk contagion and bank stability: the role of credit risk and liquidity risk
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.
Model risk in mortality-linked contingent claims pricing
The authors investigate the influence of model risk on pricing life products and demonstrate that classical Lee-Carter-type models can be less accurate than the proposed model.
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Is volatility a friend or enemy of your stock and fund investments?
The authors investigate the role of past volatility in the cross section of returns on US stocks, equity mutual funds and corporate bond funds.
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Islamic mutual funds: contracts, structures, screening and pricing mechanisms
The authors investigate the contracts, structures, screening, pricing mechanisms of Islamic Mutual Funds and attempt to harmonize and standardize the benchmarks of these funds
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
This paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
The statistics of capture ratios
This paper investigates the statistical problem of estimating the capture ratio based on a finite number of observations of a fund’s returns.
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Adjoint differentiation for generic matrix functions
The authors develop and apply a formula to derive closed-form expressions in particular quantitative finance cases.
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
This paper investigates various techniques for the CIR and Heston models.
How does the pandemic change operational risk? Evidence from textual risk disclosures in financial reports
The authors investigate changes in operational risk profiles of the financial industry following the Covid-19 pandemic.
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.
Modeling systemic operational risk in the Covid-19 pandemic
This paper introduces existing and novel epidemiology models and investigates how government responses to the Covid-19 pandemic impacted these models.
Pricing the correlation skew with normal mean–variance mixture copulas
The author puts forward a pricing methodology for European multi-asset derivatives that consists of a flexible copula-based method that can reproduce the correlation skew and is efficient enough for use with large baskets.
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems
Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
The authors identify 7 clusters and provide insight into their current or prospective UCITS holdings by observing their performance in the context of the relevant cluster.
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced