Technical paper
Skewing quanto with simplicity
George Hong presents an analytical method for pricing quanto options
Could holding multiple safe havens improve diversification in a portfolio? The extended skew-t vine copula approach
In this paper, the authors propose a vine copula model based on a bivariate extended skew-t distribution and derive its corresponding multivariate tail dependence function.
Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression
In this paper, the authors using a data set composed of five Japanese regional banks, propose an loss given default estimation model using a two-stage model, classification tree-based boosting and support vector regression (SVR).
Revisiting SA-CCR
Berrahoui, Islah and Kenyon propose an alternative to SA-CCR
Calculate tail quantiles of compound distributions
In this paper the authors evaluate the performance of different approaches for estimating quantiles of compound distributions, which are widely used for risk quantification in the banking and insurance industries.
Efficient conservative second-order central-upwind schemes for option-pricing problems
In this paper, the authors propose improvements to the approach of Ramírez-Espinoza and Ehrhardt (2013) for option-pricing PDEs formulated in the conservative form.
Tail-risk mitigation with managed volatility strategies
This paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold…
Does international stock index arbitrage exist?
This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model
The extended SSVI volatility surface
This paper extends Gatheral and Jacquier’s surface stochastic volatility-inspired (SSVI) parameterization by making the correlation maturity dependent and obtaining the necessary and sufficient conditions for no calendar-spread arbitrage.
An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data
This paper focuses on feature selection methods for support vector machine (SVM) classifiers, checking their optimality by comparing them with some statistical and baseline methods.
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures
In light of institutional knowledge, this paper presents the similarities between the survivor-pay component (Tranche 2) of the Canadian large-value transfer system (LVTS) and credit default swap (CDS) contracts.
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.
Introducing a novel system-of-systems axiomatic risk management technique for production systems
This paper focuses on conceptual and modeling frameworks in an attempt to explore qualitative and quantitative risk management techniques for hierarchical SoS risks, exemplifying the production systems for demonstration.
Maximum likelihood estimation error and operational value-at-risk stability
The aim of this paper is to systematically investigate the stability of operational value-at-risk (OpVaR) models when fitting heavy-tailed distributions to the relatively small sample sizes found in operational loss data.
Tying allocation to selection
Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance
Electricity market prices for day-ahead ancillary services and energy: Texas
This paper explores determinants of day-ahead market prices for ancillary services and energy in the Electric Reliability Council of Texas (ERCOT).
Parameter variation and the components of natural gas price volatility
This paper models natural gas returns explicitly, allowing for market participants to learn over time and to react differently to present changes in economic variables. This learning and adaptation, and the attendant parameter uncertainty, constitutes…
Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms
In this paper, the author expands standard yield curve fitting techniques to artificial intelligence methods.
Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting
This paper incorporates volatility forecasting via the exponentially weighted moving average model into traditional tolerance limits for pair-trading strategies, and illustrates how the proposed method helps uncover arbitrage opportunities via the daily…
On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
In this paper, the authors focus on PD estimation and validation. They provide the mathematical modeling for both point-in-time (PIT) and through-the-cycle (TTC) PD estimation, and discuss their relationship and application in our banking system.