Journals
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
The authors introduce and apply new semiparametric GARCH models with long memory to obtain rolling one-step ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk assets.
Modeling very large losses. II
This paper presents a means to estimate very large losses by supposing the event is the result of a succession of factors and estimating the probability of each factor.
Enhanced expected impact cost model under abnormally high volatility
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
Dynamic initial margin estimation based on quantiles of Johnson distributions
The authors compare JLSMC DIM estimates with those produced by two other methods, finding that the JLSMC algorithm is accurate and efficient, producing results comparable with nested Monte Carlo with an order of magnitude less computational effort.
Explainable artificial intelligence for credit scoring in banking
The authors put forward an explainable machine learning model predicting credit default using a real-world data set provided by a Norwegian bank.
Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
This paper proposes new maximum likelihood estimation methods that offer greater flexibility than current methods and can account for finite portfolio sizes, scarce default data and time varying, nonhomogeneous default probabilities.
Sovereign probabilities of default in the euro area
This paper decomposes credit default swap spreads of euro area members into their risk premium and default risk elements and forecast one year probabilities of default.
Analytical conversion between implied volatilities based on different dividend models
The authors propose an explicit formula for the conversion of implied volatilities corresponding to dividend modelling assumptions which covers a wide range of strikes and maturities.
The Compliance Index: a behavioral approach to compliance risk management in the (post-) Covid-19 era
This paper proposes the Compliance Index - a behavioral measurement system for controlling and monitoring the effectiveness of compliance programs to mitigate compliance risk - designed in response to the shift to remote working during the Covid-19…
Nonparametric estimation of systemic risk via conditional value-at-risk
The authors propose four new nonparametric estimators of static CoVar and compare their performance in simulation studies.
Energy trading efficiency in ERCOT’s day-ahead and real-time electricity markets
This paper uses hourly prices to study energy trading efficiency in ERCOT's electricity markets and proposes means to improve trading efficiency and investment inventive.
Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices
This paper investigates the impact of wind energy updates on intraday prices and proposes the use of merit-order-based models to counter price uncertainties stemming from updates.
Risks of long-term auto loans
The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
Forecasting the realized volatility of stock markets with financial stress
This paper investigates the impact of financial stress on the predictability of the realized volatility of five stock markets
Counterparty risk allocation
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
Risk contagion and bank stability: the role of credit risk and liquidity risk
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.
Model risk in mortality-linked contingent claims pricing
The authors investigate the influence of model risk on pricing life products and demonstrate that classical Lee-Carter-type models can be less accurate than the proposed model.
Is volatility a friend or enemy of your stock and fund investments?
The authors investigate the role of past volatility in the cross section of returns on US stocks, equity mutual funds and corporate bond funds.
Islamic mutual funds: contracts, structures, screening and pricing mechanisms
The authors investigate the contracts, structures, screening, pricing mechanisms of Islamic Mutual Funds and attempt to harmonize and standardize the benchmarks of these funds
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
This paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
The statistics of capture ratios
This paper investigates the statistical problem of estimating the capture ratio based on a finite number of observations of a fund’s returns.
Adjoint differentiation for generic matrix functions
The authors develop and apply a formula to derive closed-form expressions in particular quantitative finance cases.
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
This paper investigates various techniques for the CIR and Heston models.
How does the pandemic change operational risk? Evidence from textual risk disclosures in financial reports
The authors investigate changes in operational risk profiles of the financial industry following the Covid-19 pandemic.