Technical paper
Winning investment strategies based on financial crisis indicators
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
Extending risk budgeting for market regimes and quantile factor models
In this paper, the authors combine several disparate avenues in the literature to create a novel, unified risk-based optimization framework.
The Garch linear SDE: explicit formulas and the pricing of a quanto CDS
A new closed-form approximation is applied to quanto CDS pricing
Asymmetry herding behavior of real estate investment trusts: evidence from information demand
This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index.
Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model.
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
Technical uncertainty in real options with learning
This paper introduces a new approach for incorporating uncertainty in the decision to invest in a commodity reserve.
Dynamic delta option strategies in Nordic electricity markets
This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts.
Semianalytical pricing and hedging of fixed and indexed energy swing contracts
This paper offers a new way to price and hedge energy swing contacts, decomposing swing contracts into tradeable products, adding time-spread optionality to Keppo’s approach.
A review of the state of the art in quantifying operational risk
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Global perspectives on operational risk management and practice: a survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)
This paper presents survey results which represent comprehensive perspectives on operational risk practice, obtained from practitioners in a wide range of countries and sectors.
A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
This paper aims to evaluate the performance of different value-at-risk (VaR) calculation methods, allowing the authors to identify models that are valid for use in emerging markets.
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
The distribution of clearing members’ risk exposure and how it matters
In this paper, the authors compare the data from three major clearing houses concerning tail losses and member concentration.
Portfolio optimization for American options
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
The optimal investment problem in stochastic and local volatility models
This paper considers the classical optimal investment allocation problem of Merton through the lens of some more modern approaches, such as the stochastic volatility and local volatility models.
Hedging of options in the presence of jump clustering
This paper analyzes the efficiency of hedging strategies for stock options in the presence of jump clustering.
Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis
This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in OECD countries from 2005 to 2015.
Is operational risk regulation forward looking and sensitive to current risks?
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
Harmonic distances, centralities and systemic stability in heterogeneous interbank networks
This paper investigates the effects of contagion in interbank-lending networks, with a special focus on the theoretical grounding of centrality measures.