Original research
A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting
This paper proposes the chi-squared with recursive feature elimination method: a means of feature-selection which aims to improve classification performance using fewer features.
The validation of different systemic risk measurement models
The authors incorporate a capital buffer to the DebtRank model and use data from China's banking industry to compare the proposed model with others.
Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates
The authors put forward a method using a support vector machine to enhance the exploration of nonlinear covariate effects if SMEs never default while also considering time-varying and fixed covariates for the incidence and latency of an event.
What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
This paper offers a means of testing initial margin models based on their predictions of the whole future distribution of returns of the relevant portfolio which is demonstrated to be more powerful than typical backtesting approaches.
Target-date funds: lessons learned?
The authors return to the topic of their 2011 paper and investigate the maturation of target-date funds and their performance during the Covid-19 pandemic, finding that the funds have largely achieved their designation.
The information value of past losses in operational risk
The authors argue that past operational losses inform future losses at banks and that the information provided by past losses results from their capturing factors that are hard to quantify in other tests.
Application of the radial basis function in solving an operational risk management model: investigating the probability of bank survival with risk reserves
The authors investigate the probability of bank survival in relation to operational risk and risk reserve and calculate the amount of risk storage necessary to achieve the desired probability of survival.
Does board diversity mitigate firm risk-taking? Empirical evidence from China
The authors explore the relationship between firm risk and both demographic and cognitive-oriented board diversity.
Instabilities in Cox proportional hazards models in credit risk
The authors explore possible instabilities in applying Cox PH models and conduct numerical studies to demonstrate the same linear specification error from APC models an occur in Cox PH estimation.
Banking on personality: psychometrics and consumer creditworthiness
This paper uses empirical methods to investigate how psychometric data can be used to augment traditional credit models.
An experimental study of capacity remuneration mechanisms in the electricity industry
The authors investigate the efficiency properties of energy market designs with regard new investments, reductions in unserved energy frequency and energy prices of a generic capacity remuneration mechanism impervious to the forward capacity market.
Locational arbitrage strategies for Shanghai crude futures
The authors investigate crude oil futures introduced on the Shanghai International Energy Exchange in March 2018 and the locational trading strategies they can provide and put forward an example of locational arbitrage hedged against foreign risk.
Scaling up hydrogen production in France: learning rates versus economies of scale strategies
The authors investigate hydrogen production infrastructure in an effort to offer a vision for electrolyzer planning which avoids sunk costs at an early stage.
Quantifying the economic benefits of payments modernization: the case of Canada’s large-value payment system
The authors analyze the economic benefits of the replacement of Canada’s large-value transfer system (LVTS) with the new system, Lynx.
Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks
The authors investigate the effect of spillover effects from private sector risks on sovereign debt risk and the impact of rising sustainability risks on sovereign credit risk using the XGBoost classification algorithm and model interpretability…
A dynamic program under Lévy processes for valuing corporate securities
The authors design and solve an extended structural model that accommodates arbitrary Lévy dynamics for the underlying firm’s asset value, realistic debt payment schedules, multiple seniority classes and various intangible assets.
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets
The authors investigate the high-frequency intraday return and volatility transmission between crude oil futures prices and exchange rates during the 2020 Covid-19 pandemic in the Brent and INE markets.
Value-at-risk models: a systematic review of the literature
The authors conduct a systematic literature review of value-at-risk models to determine which models are most often used and whether any change in model popularity occurred after the 2007-9 financial crisis.
A theory for combinations of risk measures
This paper investigates combinations of risk measures under no restrictive assumption on the set of alternatives, obtaining results regarding the preservation of properties and acceptance sets for these combinations of risk measures.
Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event
This paper analyzes the effectiveness of APC measures implemented by central counterparties for clearing member and client margins, with effectiveness sensitive to the details of calibration and type of portfolios to which the measure is applied.
Payment coordination and liquidity efficiency in wholesale payments systems
The authors investigate the two settlement mechanisms found in the Lynx payments system, finding that the highest liquidity efficiency is achieved if all payments were sent to the mechanism allowing offsetting.
Managerial connections and corporate risk-taking: evidence from the Great Recession
Using the the 2007-9 Great Recession as an example, the authors investigate the relationship between managers’ connections, corporate risk-taking and corporate performance during a period of crisis.
A risk-based internal audit methodology for Greek local government organizations
The authors propose a methodology for evaluating possible risks when preparing an audit plan in Greek municipalities, with applicability beyond this area.
Climate-policy-relevant sectors and credit risk
This paper explores the relationship between banks exposed to climate-policy-relevant sectors and credit risk, finding that banks exposed to higher carbon emitting sectors are subject to greater credit risk than those exposed to less carbon emitting…