Technical paper
Shrunk volatility value-at-risk: an application on US balanced portfolios
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
Evaluating the risk performance of online peer-to-peer lending platforms in China
The objective of this paper is to select effective risk indicators and thus establish a risk index system of P2P platforms so as to evaluate the risk performance of these platforms in China.
Kriging metamodels and experimental design for Bermudan option pricing
This paper investigates two new strategies for the numerical solution of optimal stopping problems in the regression Monte Carlo (RMC) framework.
Importance sampling for jump–diffusions via cross-entropy
This paper develops efficient importance sampling schemes for a class of jump–diffusion processes that are commonly used for modeling stock prices.
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
Modeling dependent risk factors with CreditRisk+
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
Freeriding on liquidity in the Colombian large-value payment system
The functioning of a large-value payment system (LVPS) can be affected when some of its participants intentionally decide to delay their payments until they can fund them with payments received from other participants. This payment strategy, known as the…
A CCP is a CCP is a CCP
This paper discusses the many differences between CCPs and banks as well as the significance of these differences.
Operational risk measurement beyond the loss distribution approach: an exposure-based methodology
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on…
Distortion risk measures for nonnegative multivariate risks
In this paper, the authors present a way to address multivariate distortion risk measures and give some examples of distortion functions and distributions where the final expression has a closed form.
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
Curve dynamics with artificial neural networks
Artificial neural networks can replace PCA for yield curves analysis
Does the impact of exchange-traded funds flows on commodities prices involve stockpiling as a signature? An empirical investigation
This paper examines the relation between the flows into the three main commodity index exchange-traded funds (ETFs) and the prices, inventory and term structure of four energy and twelve US-traded agricultural contracts.
Measuring system-wide resilience of central counterparties
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing…
An operational risk capital model based on the loss distribution approach
In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution.
Consumer risk appetite, the credit cycle and the housing bubble
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
Importance sampling applied to Greeks for jump–diffusion models with stochastic volatility
In this paper, the authors develop a procedure to reduce the variance when numerically computing the Greeks obtained via Malliavin calculus for jump–diffusion models with stochastic volatility.
Impact of D-vine structure on risk estimation
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
Credit default prediction using a support vector machine and a probabilistic neural network
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
In this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
One for my baby (and one more for the road): incentives, default waterfalls and central counterparty skin-in-the-game
In this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member…
Modeling very large losses
In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.