Technical paper
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.
The impact of greenhouse gas aversion on optimal portfolios
The author applies greenhouse gas aversion to the mean-variance portfolio framework and proposes a new portfolio performance measure for greenhouse-gas-averse investors.
Just solve it: a simple method to improve the design and performance of liquidity-saving mechanisms
The authors put forward a novel LSM algorithm and compare its performance with two of the best known offsetting algorithms.
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Financial distress prediction with optimal decision trees based on the optimal sampling probability
The authors propose and validate a tree-based ensemble model for financial distress prediction which is demonstrated to outperform comparative models.
Centralized and decentralized payments networks: a simple cost comparison
This paper seeks to determine the feasibility of a widespread adoption of cryptocurrencies in payments by comparing centralized payments systems with cryptocurrencies.
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks
This study introduces a method for assessing the impact of asset correlations on credit portfolio value-at-risk using variational autoencoders (VAEs), offering a more interpretable approach than previous methods and improving model interpretability.
Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
The authors put forward a locally weighted dynamic ensemble model which can predict financial institutions' default statues five years ahed.
How do credit rating agencies and bond investors react to credit guarantees? Evidence from China’s municipal corporate bond market
This paper investigates China's municipal corporate bond market, examining the responses of credit rating agencies and bond investors to credit guarantees.
Credit risk management: a systematic literature review and bibliometric analysis
The authors undertake a literature review and bibliometric analysis of 774 credit risk research papers.
Characteristics of student loan credit recovery: evidence from a micro-level data set
The authors investigate delinquent student loans, identifying factors which influence the likelihood of recovery and proposing means to improve student loan credit recovery rates.
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures
Volatility spillover effects and risk assessment of Indian green stocks: a DCC-GARCH analysis
The authors, focussing on India, employ a DCC-GARCH model to better understand price fluctuations and risks linked to other assets in relation to green investment projects.
Renewable energy generation capacity following the Russian invasion of Ukraine, and the stock market performance of energy firms: evidence from southern European Union countries
The authors investigate links between renewable energy investment, natural gas shortages following the Russia-Ukraine conflict and stock market performance of energy firms.
Composite Tukey-type distributions with application to operational risk management
This paper investigates composite Tukey-type distributions and puts forward a new composite model, the improved flexibility of which is demonstrated.
Semi-nonparametric estimation of operational risk capital with extreme loss events
The authors put forward a means to estimate value-at-risk capital during extreme loss events which combines SNP estimation with EVT-POT theory.
New proxy schemes for swing contracts
The authors investigate the valuation of swing contracts for energy markets and propose two methods which offer more accurate calculated prices than commonly used methods.
The important role of information technology and internal auditing in risk management: evidence from Greece
The authors investigate the value of using information technologies in internal audit, finding that its effective use can help mitigate risks in business operations.
Estimating the probability of insurance recovery in operational risk
The authors put forward a novel methodology for the estimation of probability of insurance recovery.
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Banking competition and systemic risk: evidence from China
The authors investigate the relationship of competition between Chinese banks and the stability of the banking system, finding that increasing competition leads to decreasing systemic risk.
SABR convexity adjustment for an arithmetic average RFR swap
A model-independent convexity adjustment for interest rate swaps is introduced