Technical paper/Risk management
The robot-labeling phenomenon: robot-ready modern operational risk management
The author highlights misuse of the term "robot" in banking practice and the literature, proposes the robot-labelling phenomenon and recommends a shift in approaches to operational risk management to address challenges of the synthetic era.
Navigating risk horizons: a comprehensive bibliometric analysis of corporate risk management
Incorporating financial reports and deep learning for financial distress prediction: empirical evidence from Chinese listed companies
Lessons for academic research from model risk management in financial institutions
Operational risks: trends and challenges
The authors carry out a systematic literature review of operational risk research to determine the current state of operational risk research in financial institutions.
The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach
The authors put forward a machine learning model for the prediction of mortgage prepayment risks at the loan origination phase.
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
The authors put forward a novel method with which to identify risk in consumer credit data and demonstrate its enhanced generalization ability compared to commonly used methods.
Unraveling Lebanon’s financial crisis: the path from promise to peril, delving into a risk strategist’s own experience
The author investigates the causes of Lebanon's financial crisis which began in 2019 and puts forward suggestions with which to restore trust and stability.
Artificial intelligence in crisis management: a bibliometric analysis
The authors carry out a bibliometric analysis of academic papers in the field of artificial intelligence applications in crisis management and propose potential new directions for researchers in this field.
Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages
The authors apply machine learning techniques to Loss Given Default estimation, identifying key variables in LGD prediction and evaluating the performance of various models.
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
How is risk culture conceptualized in organizations? The pan-industry risk culture (PIRC) model
This paper puts forward a pan-industry risk culture as a framework through which to proactively manage risk culture.
Credit risk management: a systematic literature review and bibliometric analysis
The authors undertake a literature review and bibliometric analysis of 774 credit risk research papers.
New proxy schemes for swing contracts
The authors investigate the valuation of swing contracts for energy markets and propose two methods which offer more accurate calculated prices than commonly used methods.
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
The authors carry out quantitative and qualitative analysis of anti-procyclicality tools and suggest policy measures intended to make APC tools more effective.
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.
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.
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.
Estimating the impact of climate change on credit risk
The author investigates the relationship between climate change and credit risk characteristics of individual obligors and portfolios of credit obligations.
A new automated model validation tool for financial institutions
The authors put forward a novel automated validation tool, based on US Federal Reserve and Office of the Comptroller of the Currency regulatory guidance, which is used to to validate predictive models for financial organizations.
How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity
The authors put forward a method for banks to choose the most appropriate dependence type based on an empirical analysis of the Chinese Operational Loss Database.
Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Using the vine copula, the authors put forward a nonparametric means to generate and/or validate hypothetical stress scenarios.
