This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
This paper presents a clearinghouse framework to establish initial margin requirements for portfolios of credit default swap instruments.
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies.
In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.
Through financial network analysis, this paper ascertains the existence of important causal behavior between certain financial assets, as inferred from eight different causality methods.
In this paper, the authors use information theory quantifiers to analyze the graphs generated by the VG method as applied to the return rate time series of stock markets from different countries.
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
This paper describes a simple model that can be used for risk management.
This paper proposes a portfolio credit risk model with random recovery rates.
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
In this paper, the authors provide tools to test the correctness of backtest engines for setups with at most one entry and one exit.
This paper brings Black–Litterman optimization, exotic betas and varying starting portfolios together into one complete, symbiotic framework.
This paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
This paper provides an analysis of a broad spectrum of fundamental and nonfundamental indicators for crude oil prices.
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
In this paper, the authors investigate the barriers to including DH as a flexible resource for the electricity market in Denmark, Norway and Sweden.
Various approximations of the total aggregate loss quantile function with application to operational risk
This paper investigates the mechanics of the empirical aggregate loss bootstrap distribution.
In this paper, the authors present a general model of the recognition heuristic that assumes that objects’ recognition is random.
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.