Original research
Natural language processing-based detection of systematic anomalies among the narratives of consumer complaints
The authors develop a means to detect nonmeritorious consumer complaints using natural language processing.
US regional banks: challenges and opportunities
The authors investigate the 2023 run on US regional banks, comparing the solvency and regulation of these banks with European counterparts.
Do government audits raise the risk awareness of management? An investigation from the perspective of cost variability
The authors investigate the impact of government audits on state-owned enterprises, finding they increase cost variability in these enterprises.
Integrating internal and external loss data via an equivalence principle
The authors put forward a means address data scarcity in operational risk modelling by supplementing internal loss data with external loss data.
An entropy-based class of moving averages
The author proposes a family of maximum-entropy-based moving averages with a framework of a moving average corresponding to a risk-neutral valuation scheme for financial time series applied to generalized forms of entropy.
Tracking toxicity in fast and complex markets
A novel means of tracking toxicity in high-frequency equity markets is put forward and demonstrated to adequately track flash crashes.
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.
Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
The authors use data from during the Covid-19 pandemic to investigate the impact of investor sentiment on equity market volatility, finding negative news to have a stronger impact that positive news of the same magnitude.
The impact of economic sentiment on financial portfolios during the recent turmoil
The authors investigate the influence of economic sentiment on financial portfolios during Covid-19 and the Russia-Ukraine conflict before conducting a portfolio management analysis on their data.
Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic
The authors analyse the investment performance of collectible watches for the period 1999 - 2020, finding they outperformed the S&P 500 index and other luxury collectible goods.
A multidimensional transform for pricing American options under stochastic volatility models
The authors put forward a transform-based method for pricing American options which is computationally efficient and accurate under under low-dimensional stochastic volatility models.
A simple local correlation model
This paper puts forward a novel kind of "local-in-index" model which allows easier computation of Greeks.
An equity-implied rating model for unrated firms
The authors use Merton's distance to default as the basis for new model with which to assign credit ratings to firms which are not traditionally rated.
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework
This paper puts forward a novel insurance and illustrate the impact of model parameters on optimal investment strategies.
Examining sustainability investments and financial performance of football clubs: an empirical analysis
The authors investigate how sustainability investments, financial leverage and growth rates impact the stock rate returns of football clubs.
Revenue analysis of spot and forward solar energy sales in Texas
The study uses Texas's wholesale electricity market data to forecast solar energy prices and analyze revenue forecasts for solar plants, finding that short-term solar power purchase agreements and relative levels of forward and spot energy prices…
Key indicators for the credit risk evaluation of clients and their changing characteristics
The authors propose a credit risk evaluation model for energy performance contracting projects with debt- paying ability and long-term capital debt ratio as optimal indicators.
Securities and Exchange Commission Form 13F Holdings Report: statistical investigation of trading imbalances and profitability analysis
The authors argue that trading against SEC Form 13F-HR imbalances can prove a profitable strategy due to the inflation of related asset prices.
Design risk: the curse of constant proportion portfolio insurance
The authors propose the concept of design risk and highlight how inadequately designed structured products or investment strategies can leave investors exposed to unintended risks.
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
The authors construct a risk measurement model for the financial market during the Covid-19 pandemic, using data from the Shanghai Stock Exchange for empirical analysis.
The impact of greenhouse gas aversion on optimal portfolios
The author applies greenhouse gas aversion to the mean-variance portfolio framework and proposes a new portfolio performance measure for greenhouse-gas-averse investors.
Just solve it: a simple method to improve the design and performance of liquidity-saving mechanisms
The authors put forward a novel LSM algorithm and compare its performance with two of the best known offsetting algorithms.
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Financial distress prediction with optimal decision trees based on the optimal sampling probability
The authors propose and validate a tree-based ensemble model for financial distress prediction which is demonstrated to outperform comparative models.