How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
In this paper, the authors study the stability of the interbank market to exogenous shocks using an agent-based network framework.
The aim of this paper is to assess the effects of the reputation of the members of a group on any single member of the group using the concepts of social influence and convergence in belief.
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
This paper focuses on the corporate stress testing models for credit risk.
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.
A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy
This paper uses a model combination approach to develop robust macrofinancial models for credit risk stress testing.
The authors propose a method to consider business cycles in the computation of capital for operational risk.
In this paper, the authors give complete algorithms and source code for constructing statistical risk models.
The authors examine the behavior of asset correlations for companies in Taiwan under the Basel Accord’s asymptotic single-risk-factor approach.
The authors formulate a general structural model for an energy market in order to analyze the dynamic hedging of contingent claims on spot electricity prices.
The authors of this paper study the calibration of futures contracts on temperature indexes.
This paper proposes a methodology applied to complex systems to analyze operational risk events in Australian banks.
This paper focuses on the ability of accounting ratios to predict the financial distress status of a firm as defined by the law.
The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.
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 author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
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.
In this paper, the authors investigate the diversification benefits of iShares and their rivals (CECFs and American depositary receipts) between April 1996 and December 2004.
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
The authors of this paper take us into the world of granular time series data.