Technical paper
Mean–variance insurance design under heterogeneous beliefs
The authors investigate a problem of optimal insurance in which the insured and the insure hold heterogenous beliefs concerning loss distribution and demonstrate their results with analytical and numerical examples.
Nonbanking financial institutions and sustainability issues: empirical evidence on the impact of environmental, social and governance scores on market performance
The authors investigate relationships between environmental, social and governance scores and market-to-book ratios using data from North American and European nonbanking financial institutions.
The role of a green factor in stock prices: when Fama and French go green
The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
Optimal trend-following portfolios
This paper presents a unifying theoretical setting to introduce an autocorrelation model and derives an optimal portfolio based on a trend-following signal.
Peak-to-valley drawdowns: insights into extreme path-dependent market risk
The authors investigate risk in relation to peak-to-valley market drawdowns and aim to gain insights into the drawdown behaviour of asset classes across time intervals.
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Credible value-at-risk
This paper proposes a means to determine whether a a calculated VaR is "too large" and give a definition of this term within the context.
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay
The author proposes methods for how contractors may attempt to mitigate exchange rate risks in hybrid payment systems and validates these with empirical data from a hypothetical project.
How does fintech affect the revenue and risk of commercial banks? Evidence from China
The authors use data from Chinese commercial banks to investigate relationships between the development and adoption of fintech and the revenue and risk of commercial banks.
On the potential of arbitrage trading on the German intraday power market
The authors compare ex post arbitrage trading with pair-trading on the German intraday power market and how each method may be optimised.
Realized quantity extended conditional autoregressive value-at-risk models
The author presents models for improved Value-at-Risk forecasts and joint forecasts of Value at Risk and Expected Shortfall and demonstrates that high-frequency-data-based realized quantities lead to better forecasts.
Integrated stock–bond portfolio management
The authors put forward a stock-bond portfolio selection model which is based on CreditMetrics principles in which market and credit risks are naturally integrated.
Estimating the correlation between operational risk loss categories over different time horizons
The authors propose and demonstrate the value of a model with which mathematical techniques can be applied to analytically calculate means, variances and covariances more accurately than Monte Carlo simulations.
Implementing mean–variance spanning tests with short-sales constraints
The authors demonstrate that Wald tests are prone to numerical instability when accounting for short sales.
Legal risk management in the Polish banking sector
We carry out a review of the management of legal risk in Polish banks and use empirical research to demonstrate how these risks are managed.
Hedging of financial derivative contracts via Monte Carlo tree search
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction
Pricing the transition of Scope 3 emissions
A framework to measure banks’ costs associated with carbon emissions is proposed
News-driven bubbles in futures markets
The authors offer a model which investigates the impact of trade war expectations, policy news, trading volume and cashflow on the relationship between trade war expectations and bubbles.
Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States
The authors offer an estimate of how much incremental wind energy development could happen while avoiding inadequate investment incentives for wind and natural-gas-fired generation in day-ahead and real-time markets.
An empirical study of the contrarian strategy against US equities in the Japanese market
This paper investigates the contrarian strategy against US equities, finding that for samples where the previous day's daily return on the S&P 500 is positive (negative), the next day's intraday returns on Japanese stock-index futures will be the inverse…
Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic
Following the Covid-19 pandemic, the authors use the time-varying parameter vector autoregression approach to to explore the connectedness between cryptocurrencies and international energy markets from 2018 to 2021.
What have we learned from 20 million historical US stock data?
The author offers a statistical characterization of the US stock market from January 3, 1995 to June 11, 2021.
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios