Technical paper
A sound modelling and backtesting framework for forecasting initial margin requirements
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM
Does initial margin eliminate counterparty risk?
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Managing energy market volumetric risk
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
Goodness-of-fit for discrete-choice models of borrower default
This paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities.
Are the GIPS sovereign debt markets efficient during a crisis?
This paper aims to analyze the efficiency of the Greek, Italian, Portuguese and Spanish (ie, GIPS) sovereign debt markets during crises: in essence, the recent global financial and sovereign debt crises
Liquidity risk management implementation for selected Islamic banks in Pakistan
The purpose of this particular study is to determine if any liquidity risk exists in the Islamic banks of Pakistan and, if it does, what effect it has on the resilience of the industry in that country.
Time-varying beta and the global financial crisis: evidence from Chinese and Indian firms
This paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India.
Basel III implementation outcome in Islamic banks
This paper presents an empirical analysis based on a survey of risk managers. Its goal to improve capital standards and its scientific treatment of risk ensures that Basel III is well regarded, specifically in the Islamic banking sector of Pakistan.
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
P&L attribution for energy portfolios with non-linear exposures
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
Default risk charge: modeling framework for the “Basel” risk measure
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
A new bootstrap test for multiple assets joint risk testing
In this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.
A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies
This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.
Quantifying the diversity of news around stock market moves
In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.
A network model for central counterparty liquidity risk stress testing under incomplete information
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
The recent crises and central counterparty risk practices in the light of procyclicality: empirical evidence
This paper focuses on the risk practices of Central Counterparties in the light of their potentially procyclical features.
Optimal trading with linear and (small) non-linear costs
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
Derivatives funding, netting and accounting
Christoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties
Nonstationarity of the intraday individual and collective seasonalities of price fluctuations
This paper deals with statistical measures based on high frequency data from stock markets, and in particular looks at how these measures changed according to time, with a focus on before and after the crisis of 2008.
Investment opportunities forecasting: a genetic programming-based dynamic portfolio trading system under a directional-change framework
This paper presents an autonomous effective trading system devoted to the support of decision-making processes in the financial market domain.
Efficient pricing and super-replication of corridor variance swaps and related products
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…