Journals
How does fintech affect the revenue and risk of commercial banks? Evidence from China
The authors use data from Chinese commercial banks to investigate relationships between the development and adoption of fintech and the revenue and risk of commercial banks.
On the potential of arbitrage trading on the German intraday power market
The authors compare ex post arbitrage trading with pair-trading on the German intraday power market and how each method may be optimised.
Realized quantity extended conditional autoregressive value-at-risk models
The author presents models for improved Value-at-Risk forecasts and joint forecasts of Value at Risk and Expected Shortfall and demonstrates that high-frequency-data-based realized quantities lead to better forecasts.
Integrated stock–bond portfolio management
The authors put forward a stock-bond portfolio selection model which is based on CreditMetrics principles in which market and credit risks are naturally integrated.
Estimating the correlation between operational risk loss categories over different time horizons
The authors propose and demonstrate the value of a model with which mathematical techniques can be applied to analytically calculate means, variances and covariances more accurately than Monte Carlo simulations.
Implementing mean–variance spanning tests with short-sales constraints
The authors demonstrate that Wald tests are prone to numerical instability when accounting for short sales.
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.
Hedging of financial derivative contracts via Monte Carlo tree search
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction
News-driven bubbles in futures markets
The authors offer a model which investigates the impact of trade war expectations, policy news, trading volume and cashflow on the relationship between trade war expectations and bubbles.
Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States
The authors offer an estimate of how much incremental wind energy development could happen while avoiding inadequate investment incentives for wind and natural-gas-fired generation in day-ahead and real-time markets.
An empirical study of the contrarian strategy against US equities in the Japanese market
This paper investigates the contrarian strategy against US equities, finding that for samples where the previous day's daily return on the S&P 500 is positive (negative), the next day's intraday returns on Japanese stock-index futures will be the inverse…
Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic
Following the Covid-19 pandemic, the authors use the time-varying parameter vector autoregression approach to to explore the connectedness between cryptocurrencies and international energy markets from 2018 to 2021.
What have we learned from 20 million historical US stock data?
The author offers a statistical characterization of the US stock market from January 3, 1995 to June 11, 2021.
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
The authors investigate the surface SVI model with three with three parameters, applying the SVI results to give the nobutterfly- arbitrage domain
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.
Illustrative industry architecture to mitigate potential fragmentation across a central bank digital currency and commercial bank money
The authors put forward a means to mitigate the fragmentation risk to payments markets and retail deposits presented by the adoption of CBDCs.
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment
The authors put forward the concept of the joint lower-tail risk of liquidity and investor sentiment and investigate the issue of lower-tail risk premiums in the Chinese stock market.
Automatic adjoint differentiation for special functions involving expectations
The authors put forward AAD algorithms for functions involving expectations and use their technique to calibrate European options.
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns
The authors propose a means to carry out worst-case risk assessments from small sample sizes and demonstrate it using cryptocurrency returns as an example.
Transmission of cyber risk through the Canadian wholesale payment system
The authors investigate how a paralyzing cyber attack on one or more banks would spread to other banks through the Canadian wholesale payment system and simulate various scenarios, evaluating the total disruption to the payment system.
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.
Overfitting in portfolio optimization
The authors measure the performance of sample-based rolling-window neural network (NN) portfolio optimization strategies and demonstrate that correctly set up NN-based strategies can outperform the 1/N strategy.
The importance of being scrambled: supercharged quasi-Monte Carlo
The authors propose a randomized quasi-Monte Carlo method which outperforms both the Monte Carlo and standard quasi-Monte Carlo methods.
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.