This paper models the evolution of the oil price as a mean-reverting regime-switching jump–diffusion process.
Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk
This paper aims to model the impact of extreme stock jumps on REIT returns.
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Forecasting scenarios from the perspective of a reverse stress test using second-order cone programming
This paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
This paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities.
This paper aims to analyze the efficiency of the Greek, Italian, Portuguese and Spanish (ie, GIPS) sovereign debt markets during crises: in essence, the recent global financial and sovereign debt crises
The purpose of this particular study is to determine if any liquidity risk exists in the Islamic banks of Pakistan and, if it does, what effect it has on the resilience of the industry in that country.
This paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India.
This paper presents an empirical analysis based on a survey of risk managers. Its goal to improve capital standards and its scientific treatment of risk ensures that Basel III is well regarded, specifically in the Islamic banking sector of Pakistan.
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
In this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.
A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies
This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.
In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
The recent crises and central counterparty risk practices in the light of procyclicality: empirical evidence
This paper focuses on the risk practices of Central Counterparties in the light of their potentially procyclical features.
This paper deals with statistical measures based on high frequency data from stock markets, and in particular looks at how these measures changed according to time, with a focus on before and after the crisis of 2008.
Investment opportunities forecasting: a genetic programming-based dynamic portfolio trading system under a directional-change framework
This paper presents an autonomous effective trading system devoted to the support of decision-making processes in the financial market domain.
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
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.