Technical paper
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Networks and lending conditions: empirical evidence from the Swiss franc money markets
In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.
Causality networks of financial assets
Through financial network analysis, this paper ascertains the existence of important causal behavior between certain financial assets, as inferred from eight different causality methods.
Visibility graph combined with information theory: an estimator of stock market efficiency
In this paper, the authors use information theory quantifiers to analyze the graphs generated by the VG method as applied to the return rate time series of stock markets from different countries.
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
Primary-firm-driven portfolio loss
This paper describes a simple model that can be used for risk management.
Portfolio credit risk model with extremal dependence of defaults and random recovery
This paper proposes a portfolio credit risk model with random recovery rates.
Statistical testing of DeMark technical indicators on commodity futures
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
Correctness of backtest engines
In this paper, the authors provide tools to test the correctness of backtest engines for setups with at most one entry and one exit.
Black–Litterman, exotic beta and varying efficient portfolios: an integrated approach
This paper brings Black–Litterman optimization, exotic betas and varying starting portfolios together into one complete, symbiotic framework.
Agnostic risk parity: taming known and unknown unknowns
This paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.
Optimal management of green certificates in the Swedish–Norwegian market
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
A note on the statistical robustness of risk measures
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
Model calibration with neural networks
Andres Hernandez presents a neural network approach to speed up model calibration
Modeling superior predictors for crude oil prices
This paper provides an analysis of a broad spectrum of fundamental and nonfundamental indicators for crude oil prices.
On a family of weighted Cramér–von Mises goodness-of-fit tests in operational risk modeling
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
Stress hedging in portfolio construction
Bilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios
Barriers for district heating as a source of flexibility for the electricity system
In this paper, the authors investigate the barriers to including DH as a flexible resource for the electricity market in Denmark, Norway and Sweden.
Various approximations of the total aggregate loss quantile function with application to operational risk
This paper investigates the mechanics of the empirical aggregate loss bootstrap distribution.
Simple models in finance: a mathematical analysis of the probabilistic recognition heuristic
In this paper, the authors present a general model of the recognition heuristic that assumes that objects’ recognition is random.
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
Optimal execution of accelerated share repurchase contracts with fixed notional
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.