Risk
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
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Sponsored video: Eric Berdeaux, Oxial
Eric Berdeaux, chief executive officer of Oxial, shares his thoughts on the digital innovation in operational risk and compliance and what the biggest challenges Oxial clients are facing right now within compliance.
Rethinking risk management in the age of cognitive computing
Content provided by IBM
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Optimal execution of accelerated share repurchase contracts with fixed notional
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.
Interconnectedness risk and active portfolio management
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
Do investors price industry risk? Evidence from the cross-section of the oil industry
This paper analyzes the case of commodity-dependent industries by testing in the case of the oil industry and analyzing whether oil exposure relates to the cross-section of returns.
The temporal dimension of risk
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
Shortfall deviation risk: an alternative for risk measurement
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
Risk reduction in a time series momentum trading strategy
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.
Acceptability bounds for forward starting options using disciplined convex programming
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
Systematic analysis of the evolution of electricity and carbon markets under deep decarbonization
A computationally intensive, multimethod modeling process is undertaken to address the question of whether carbon markets can offer the desired solution of balancing initiatives for technological change while maintaining a commitment to market…
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
People: Societe Generale appoints new chief risk officer
Diony Lebot is promoted; Robert Cook becomes president and CEO of Finra; Andre Cronje joins HSBC
The excess returns of “quality” stocks: a behavioral anomaly
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
Portfolio insurance with adaptive protection
This paper investigates the optimal design of funds which provide capital protection at a specific maturity.
Bringing order to op risk and the duck-billed platypus
Industry co-operation on operational risk taxonomies might yield a valuable tool
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
Avoiding crowds: BlackRock leads push to model 'endogenous' risk
A known flaw in conventional risk models is becoming hard to ignore in current markets
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Does bonus deferral reduce risk-taking?
This paper characterizes continuous-time risk-taking.
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.