Technical paper
Historical simulation with component weight and ghosted scenarios
This paper puts forward two strategies for improving Historical Simulation in weak areas.
Managing option-trading risk when mental accounting influences prices
This paper explores the implications for risk management of mental accounting of a call option with its underlying.
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
A non-linear PDE for XVA by forward Monte Carlo
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing…
Collateral option valuation made easy
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
Optimal betting sizes for the game of blackjack
The authors of this paper develop the theory of Kelly and Thorp for determining optimal bet sizes for blackjack by incorporating two practical considerations.
The impact of visible and dark orders
This paper presents empirical evidence of how different components of order flow affect returns.
A unified framework for risk-based investing
This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.
Stress testing and model validation: application of the Bayesian approach to a credit risk portfolio
The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS countries (Brazil, Russia, India, China and South Africa)…
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
Loss given default modeling: an application to data from a Polish bank
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Outsourcing risk: a separate operational risk category?
This paper identifies three steps in sourcing risk.
Truncated lognormals as a power-law mimic in operational risk
This paper makes use of the power-law mimicry properties of the truncated lognormal distribution and shows how they fit operational risk data considerably well.
Which risk–collateral channels affect loan management?
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.
A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
Mitigating rogue-trading behavior by means of appropriate, effective operational risk management
This paper discusses the violation of applicable firm guidelines by individuals employed by a bank or financial institution and suggests specific metrics to identify and prevent such behaviour.
The informational role of spot prices and inventories
The authors of this paper argue that fundamental determinants of speculative futures trading may have been misinterpreted by some as “excessive” speculation in the energy markets in recent years.
Risk evaluation of wind turbine investments
This paper assesses the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power.
Estimation of risk measures on electricity markets with fat-tailed distributions
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
Covered option strategies in Nordic electricity markets
This paper deals with the performance of popular option strategies in the Nordic power derivatives market.
Regulatory and supervisory deference in the context of Australia’s over-the-counter derivative trade reporting and derivative trade repositories regimes
This paper provides an Australian regulatory perspective on the over-the-counter landscape and shows how regulatory deference can play a facilitating role in the cross-border context.