Technical paper/Data
A general framework for constructing bank risk data sets
This paper proposes a general framework for constructing bank risk data sets, which provides an integrated process from data sources to comprehensive risk data sets.
Identifying patterns in the bank–sector credit network of Spain
In this paper, the authors study the topological and structural properties of the bank–sector credit network of Spain over the period 1997–2007.
Does higher-frequency data always help to predict longer-horizon volatility?
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
Real option valuation and equity markets
Many non-financial assets can be viewed as ‘real options’ linked to some underlying variable such as a commodity price. Here, Thomas Dawson and Jennifer Considine show that the stock price of a well-known electricity generating company is significantly…
Component proponents
Principal component analysis is a widely used technique in finance but can be problematic when different data sets are grouped together. Christophe Pérignon and Christophe Villa show how to resolve this problem using a technique from biology called…
Equity to credit pricing
Default models