Technical paper
The curious case of backward short rates
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
Measure twice before you cut: differences in Furfine-type algorithm implementations
This study focuses on the practical implementation aspects of “Furfine-type” algorithms used to identify money market loans from payments data.
Explaining credit ratings through a perpetual-debt structural model
This paper calibrates a perpetual-debt structural model (PDSM) by using Moody’s historical credit ratings.
A numerical approach to the risk capital allocation problem
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
This paper applies the smart expansion method to the Heston–Hull–White model, which admits stochastic interest rates to enhance the model, and obtains the expansion formula for pricing options in the model up to second order.
Ensemble methods for credit scoring of Chinese peer-to-peer loans
This study aims to conduct credit scoring by focusing on a Chinese P2P lending platform and selecting the optimal subset of features in order to find the best overall ensemble model.
Retail payments and financial inclusion in Latin America and the Caribbean: identifying gaps and opportunities
The payment aspects of financial inclusion (PAFI) framework, set up by the Committee on Payments and Market Infrastructures and the World Bank in 2016, recommends a set of actions to spur financial inclusion by means of improvements in the retail payment…
Small and medium-sized enterprises that borrow from "alternative" lenders in the United Kingdom: who are they?
This study provides a general overview of the external financing landscape for the UK SMEs and an exploratory analysis of the SME portfolio of one of the alternative lenders in the United Kingdom.
A Darwinian theory of model risk
An ex ante methodology is proposed to analyse the model risk pattern for a broad class of structures
A simple and robust approach for expected shortfall estimation
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
Goal-based wealth management with reinforcement learning
A combination of machine learning techniques provides multi-period portfolio optimisation
An approach to simultaneously assess operational risk and maturity levels in information technology management
The aim of this paper is to investigate the operational risk and maturity level of IT in an anonymized financial institution, based on the American Productivity and Quality Center benchmark and control objectives for information and related technologies.
Procyclicality control in risk-based margin models
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
Risk governance, market competition and operational risk disclosure quality: a study of the ASEAN-5 banking sector
This paper investigates the impact of risk governance and market competition on banks' operational risk disclosure (ORD) quality (total and voluntary) in the Association of Southeast Asian Nations (ASEAN-5) banking sector
The effects of transaction costs and illiquidity on the prices of volatility derivatives
This paper employs a PDE approach to price several volatility derivatives under different transaction costs and illiquidity models.
Dynamic behavior of hydro/thermal electrical operators under an environmental policy targeting the preservation of ecosystem integrity and air quality
This paper analyzes the effect of an environmental policy targeting the enhancement of ecosystem integrity as well as air quality in the wholesale electricity market.
Addressing competitiveness of emissions-intensive and trade-exposed sectors: a review of Alberta's carbon pricing system
This paper assesses mechanisms used under the CCIR to address competitiveness-driven carbon leakage for emissions-intensive and trade-exposed sectors with a focus on Alberta’s oil and gas industry.
Generating financial markets with signatures
Signatures can provide the synthetic data to train deep hedging strategies
Zone-wide prediction of generating unit-specific power outputs for electricity grid congestion forecasts
This paper explores various statistical and statistical learning methods, with the goal of adequately predicting the on/off status and power output levels of all power plants within a control zone.
The arcsine law for quantile derivatives
A new pricing model for quantile-based derivatives, such as Napoleon options, is presented
The step stochastic volatility model
Extreme short-dated skew can be obtained by decomposing it in two parts
Option pricing using high-frequency futures prices
The authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of…
Clearing away after Brexit?
This paper analyzes, from a legal perspective, the new framework, the roles and responsibilities of the European Central Bank, ESMA and the European Commission, and the possible outcomes for UK CCPs once Brexit is complete.