Technical paper - Risk.net
http://www.risk.net/feeds/rss/type/technical-paper
en-gbAn operational risk capital model based on the loss distribution approachIn this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge
into a single, universal distribution.
http://www.risk.net/journal-of-operational-risk/5603111/an-operational-risk-capital-model-based-on-the-loss-distribution-approach
http://www.risk.net/journal-of-operational-risk/5603111/an-operational-risk-capital-model-based-on-the-loss-distribution-approach
Fri, 18 May 2018 14:31:30 +0100 Consumer risk appetite, the credit cycle and the housing bubbleIn this paper, we explore the role of consumer risk appetite in the initiation of credit
cycles and as an early trigger of the US mortgage crisis.
http://www.risk.net/journal-of-credit-risk/5606541/consumer-risk-appetite-the-credit-cycle-and-the-housing-bubble
http://www.risk.net/journal-of-credit-risk/5606541/consumer-risk-appetite-the-credit-cycle-and-the-housing-bubble
Wed, 16 May 2018 09:53:38 +0100 Impact of D-vine structure on risk estimationIn this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
http://www.risk.net/journal-of-risk/5595981/impact-of-d-vine-structure-on-risk-estimation
http://www.risk.net/journal-of-risk/5595981/impact-of-d-vine-structure-on-risk-estimation
Fri, 11 May 2018 16:07:56 +0100 Credit default prediction using a support vector machine and a probabilistic neural networkIn this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network (PNN)-based CDP algorithms, together with frequently used high-performance models.
http://www.risk.net/journal-of-credit-risk/5568901/credit-default-prediction-using-a-support-vector-machine-and-a-probabilistic-neural-network
http://www.risk.net/journal-of-credit-risk/5568901/credit-default-prediction-using-a-support-vector-machine-and-a-probabilistic-neural-network
Wed, 09 May 2018 08:58:56 +0100 Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimationIn this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
http://www.risk.net/journal-of-risk-model-validation/5587081/smoothing-algorithms-by-constrained-maximum-likelihood-methodologies-and-implementations-for-comprehensive-capital-analysis-and-review-stress-testing-and-international-financial-reporting-standard-9-expected
http://www.risk.net/journal-of-risk-model-validation/5587081/smoothing-algorithms-by-constrained-maximum-likelihood-methodologies-and-implementations-for-comprehensive-capital-analysis-and-review-stress-testing-and-international-financial-reporting-standard-9-expected
Tue, 08 May 2018 15:45:39 +0100 Discrete time stochastic volatilityQuant proposes faster model to price arbitrage-free swaptions http://www.risk.net/derivatives/5569551/discrete-time-stochastic-volatility
http://www.risk.net/derivatives/5569551/discrete-time-stochastic-volatilityWed, 02 May 2018 16:18:30 +0100One for my baby (and one more for the road): incentives, default waterfalls and central counterparty skin-in-the-gameIn this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member contributions.
http://www.risk.net/journal-of-financial-market-infrastructures/5563536/one-for-my-baby-and-one-more-for-the-road-incentives-default-waterfalls-and-central-counterparty-skin-in-the-game
http://www.risk.net/journal-of-financial-market-infrastructures/5563536/one-for-my-baby-and-one-more-for-the-road-incentives-default-waterfalls-and-central-counterparty-skin-in-the-game
Mon, 30 Apr 2018 14:05:44 +0100 Modeling very large lossesIn this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
http://www.risk.net/journal-of-operational-risk/5563531/modeling-very-large-losses
http://www.risk.net/journal-of-operational-risk/5563531/modeling-very-large-losses
Mon, 30 Apr 2018 13:52:55 +0100 Pricing multivariate barrier reverse convertibles with factor-based subordinatorsIn this paper, the authors study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives.
http://www.risk.net/journal-of-computational-finance/5529736/pricing-multivariate-barrier-reverse-convertibles-with-factor-based-subordinators
http://www.risk.net/journal-of-computational-finance/5529736/pricing-multivariate-barrier-reverse-convertibles-with-factor-based-subordinators
Wed, 25 Apr 2018 12:14:56 +0100 Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equationsIn this paper, the authors propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models.
http://www.risk.net/journal-of-computational-finance/5529741/hybrid-finite-differencepseudospectral-methods-for-the-heston-and-heston-hull-white-partial-differential-equations
http://www.risk.net/journal-of-computational-finance/5529741/hybrid-finite-differencepseudospectral-methods-for-the-heston-and-heston-hull-white-partial-differential-equations
Wed, 25 Apr 2018 12:12:29 +0100 The CoCVaR approach: systemic risk contribution measurementIn this paper, the authors propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress.
http://www.risk.net/journal-of-risk/5491441/the-cocvar-approach-systemic-risk-contribution-measurement
http://www.risk.net/journal-of-risk/5491441/the-cocvar-approach-systemic-risk-contribution-measurement
Tue, 24 Apr 2018 11:41:08 +0100 Genetic algorithm-based portfolio optimization with higher moments in global stock marketsThis paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
http://www.risk.net/journal-of-risk/5491476/genetic-algorithm-based-portfolio-optimization-with-higher-moments-in-global-stock-markets
http://www.risk.net/journal-of-risk/5491476/genetic-algorithm-based-portfolio-optimization-with-higher-moments-in-global-stock-markets
Tue, 24 Apr 2018 11:40:41 +0100 Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testingThis paper illustrates how the transmission of systemic risk from shadow banking to the regulated banking sector can be modeled using partial least squares structural equation modeling in an effort to help regulators better monitor and manage contagion.
http://www.risk.net/journal-of-risk/5528991/monitoring-transmission-of-systemic-risk-application-of-partial-least-squares-structural-equation-modeling-in-financial-stress-testing
http://www.risk.net/journal-of-risk/5528991/monitoring-transmission-of-systemic-risk-application-of-partial-least-squares-structural-equation-modeling-in-financial-stress-testing
Wed, 18 Apr 2018 10:25:45 +0100 Debt, information asymmetry and bankers on boardThis paper contributes to the financial networks literature by providing evidence that well-connected bankers on the boards of directors of nonfinancial firms reduce information asymmetry between credit markets and firms.
http://www.risk.net/journal-of-network-theory-in-finance/5515641/debt-information-asymmetry-and-bankers-on-board
http://www.risk.net/journal-of-network-theory-in-finance/5515641/debt-information-asymmetry-and-bankers-on-board
Fri, 13 Apr 2018 13:15:42 +0100 News-sentiment networks as a company risk indicatorThis paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
http://www.risk.net/journal-of-network-theory-in-finance/5515601/news-sentiment-networks-as-a-company-risk-indicator
http://www.risk.net/journal-of-network-theory-in-finance/5515601/news-sentiment-networks-as-a-company-risk-indicator
Fri, 13 Apr 2018 13:02:53 +0100 Risk-averse dynamic arbitrage in illiquid marketsThis paper introduces the concept of risk-averse dynamic arbitrage using a general time-consistent dynamic risk measure and a risk-aversion threshold level.
http://www.risk.net/journal-of-risk/5472796/risk-averse-dynamic-arbitrage-in-illiquid-markets
http://www.risk.net/journal-of-risk/5472796/risk-averse-dynamic-arbitrage-in-illiquid-markets
Wed, 11 Apr 2018 12:02:34 +0100 Reflections on recent volatilityThis paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as to what might happen in the volatility trading space as a result.
http://www.risk.net/journal-of-investment-strategies/5472761/reflections-on-recent-volatility
http://www.risk.net/journal-of-investment-strategies/5472761/reflections-on-recent-volatility
Tue, 10 Apr 2018 14:48:51 +0100 The Kelly criterion in portfolio optimization: a decoupled problemThis paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.
http://www.risk.net/journal-of-investment-strategies/5472741/the-kelly-criterion-in-portfolio-optimization-a-decoupled-problem
http://www.risk.net/journal-of-investment-strategies/5472741/the-kelly-criterion-in-portfolio-optimization-a-decoupled-problem
Tue, 10 Apr 2018 14:38:33 +0100 Automatic backward differentiation for American Monte Carlo
http://www.risk.net/cutting-edge/banking/5478306/automatic-backward-differentiation-for-american-monte-carlo
http://www.risk.net/cutting-edge/banking/5478306/automatic-backward-differentiation-for-american-monte-carloThu, 05 Apr 2018 04:30:00 +0100Identifying patterns in the bank–sector credit network of SpainIn this paper, the authors study the topological and structural properties of the bank–sector credit network of Spain over the period 1997–2007.
http://www.risk.net/journal-of-network-theory-in-finance/5488076/identifying-patterns-in-the-bank-sector-credit-network-of-spain
http://www.risk.net/journal-of-network-theory-in-finance/5488076/identifying-patterns-in-the-bank-sector-credit-network-of-spain
Wed, 04 Apr 2018 12:36:11 +0100 Risk transformation of a zero-subsidy wind portfolioJoaquin Narro analyses the hedging of a hypothetical zero-subsidy wind portfolio with base load products in the futures markets, in a situation that is becoming increasingly relevant to the portfolio managers of wind farms, due to the decline of the cost of wind generation. He evaluates the boundary conditions faced by portfolio managers and shows how they can take advantage of the available market mechanisms to reduce the risk of their portfolios
http://www.risk.net/cutting-edge/energy/5483716/risk-transformation-of-a-zero-subsidy-wind-portfolio
http://www.risk.net/cutting-edge/energy/5483716/risk-transformation-of-a-zero-subsidy-wind-portfolioWed, 04 Apr 2018 12:30:41 +0100Rogue traders versus value-at-risk and expected shortfallVAR and ES are ineffective to deter rogue trading http://www.risk.net/risk-management/5478266/rogue-traders-versus-value-at-risk-and-expected-shortfall
http://www.risk.net/risk-management/5478266/rogue-traders-versus-value-at-risk-and-expected-shortfallWed, 04 Apr 2018 04:30:00 +0100International and temporal diversifications: the best of both worlds?In this paper, the authors focus on seven stock market indexes: two US, three European, one emerging and one Japanese. They select different pairs of markets and, with the help of wavelets, decompose these series at different timescales.
http://www.risk.net/journal-of-risk/5472731/international-and-temporal-diversifications-the-best-of-both-worlds
http://www.risk.net/journal-of-risk/5472731/international-and-temporal-diversifications-the-best-of-both-worlds
Wed, 28 Mar 2018 14:48:31 +0100 Underperforming performance measures? A review of measures for loss given default modelsThis paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
http://www.risk.net/journal-of-risk-model-validation/5462081/underperforming-performance-measures-a-review-of-measures-for-loss-given-default-models
http://www.risk.net/journal-of-risk-model-validation/5462081/underperforming-performance-measures-a-review-of-measures-for-loss-given-default-models
Mon, 26 Mar 2018 14:51:18 +0100 A central limit theorem formulation for empirical bootstrap value-at-riskIn this paper, the importance of the empirical bootstrap (EB) in assessing minimal operational risk capital is discussed, and an alternative way of estimating minimal operational risk capital using a central limit theorem (CLT) formulation is presented.
http://www.risk.net/journal-of-risk-model-validation/5462066/a-central-limit-theorem-formulation-for-empirical-bootstrap-value-at-risk
http://www.risk.net/journal-of-risk-model-validation/5462066/a-central-limit-theorem-formulation-for-empirical-bootstrap-value-at-risk
Mon, 26 Mar 2018 14:50:39 +0100 Bridging networks, systems and controls frameworks for cybersecurity curriculums and standards developmentThis paper proposes a risk management framework designed to facilitate the alignment, integration and streamlining of professional practice standards and computer science/cybersecurity educational curriculums by bridging NPNATFs, SNIFs and RMCPFs.
http://www.risk.net/journal-of-operational-risk/5462036/bridging-networks-systems-and-controls-frameworks-for-cybersecurity-curriculums-and-standards-development
http://www.risk.net/journal-of-operational-risk/5462036/bridging-networks-systems-and-controls-frameworks-for-cybersecurity-curriculums-and-standards-development
Mon, 26 Mar 2018 10:58:39 +0100 Tail dependence in small samples: from theory to practiceIn this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
http://www.risk.net/journal-of-operational-risk/5462041/tail-dependence-in-small-samples-from-theory-to-practice
http://www.risk.net/journal-of-operational-risk/5462041/tail-dependence-in-small-samples-from-theory-to-practice
Mon, 26 Mar 2018 10:57:52 +0100 Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk ChargeThis paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
http://www.risk.net/journal-of-risk-model-validation/5465841/model-risk-in-the-fundamental-review-of-the-trading-book-the-case-of-the-default-risk-charge
http://www.risk.net/journal-of-risk-model-validation/5465841/model-risk-in-the-fundamental-review-of-the-trading-book-the-case-of-the-default-risk-charge
Thu, 22 Mar 2018 10:06:53 +0000 Statistics of VIX futures and their applications to trading volatility exchange-traded productsIn this paper, the authors study the dynamics of Chicago Board Options Exchange volatility index (VIX) futures and exchange-traded notes (ETNs)/exchange-traded funds (ETFs).
http://www.risk.net/journal-of-investment-strategies/5460971/statistics-of-vix-futures-and-their-applications-to-trading-volatility-exchange-traded-products
http://www.risk.net/journal-of-investment-strategies/5460971/statistics-of-vix-futures-and-their-applications-to-trading-volatility-exchange-traded-products
Wed, 21 Mar 2018 10:53:59 +0000 The validation of filtered historical value-at-risk modelsIn this paper, the authors examine the problem of validating and calibrating FHS VaR models, focussing in particular on the Hull and White (1998) approach with EWMA volatility estimates, given its extended use in the industry.
http://www.risk.net/journal-of-risk-model-validation/5455781/the-validation-of-filtered-historical-value-at-risk-models
http://www.risk.net/journal-of-risk-model-validation/5455781/the-validation-of-filtered-historical-value-at-risk-models
Mon, 19 Mar 2018 14:50:32 +0000 The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysisThis paper studies the characteristics of the conditional mean and volatility of daily price movements of the system price for the Nordic/Baltic one-day-ahead spot electric power market.
http://www.risk.net/journal-of-energy-markets/5429241/the-nordicbaltic-spot-electric-power-system-price-univariate-nonlinear-impulse-response-analysis
http://www.risk.net/journal-of-energy-markets/5429241/the-nordicbaltic-spot-electric-power-system-price-univariate-nonlinear-impulse-response-analysis
Thu, 15 Mar 2018 13:02:07 +0000 Takeover likelihood in the oil and gas industry: firm-, macro- or industry-specific causes?In this study, the authors investigate drivers of merger activity in the oil and gas sector and seek to ascertain how key determinants influence the takeover likelihood of oil and gas companies.
http://www.risk.net/journal-of-energy-markets/5429226/takeover-likelihood-in-the-oil-and-gas-industry-firm-macro-or-industry-specific-causes
http://www.risk.net/journal-of-energy-markets/5429226/takeover-likelihood-in-the-oil-and-gas-industry-firm-macro-or-industry-specific-causes
Thu, 15 Mar 2018 13:00:09 +0000 Moment estimators for autocorrelated time series and their application to default correlationsIn this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation and the shortness of the observed time series.
http://www.risk.net/journal-of-credit-risk/5429256/moment-estimators-for-autocorrelated-time-series-and-their-application-to-default-correlations
http://www.risk.net/journal-of-credit-risk/5429256/moment-estimators-for-autocorrelated-time-series-and-their-application-to-default-correlations
Wed, 14 Mar 2018 15:12:15 +0000 Validation of profit and loss attribution models for equity derivativesThe aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
http://www.risk.net/journal-of-risk-model-validation/5452281/validation-of-profit-and-loss-attribution-models-for-equity-derivatives
http://www.risk.net/journal-of-risk-model-validation/5452281/validation-of-profit-and-loss-attribution-models-for-equity-derivatives
Tue, 13 Mar 2018 10:33:46 +0000 A risk-based approach to construct multi asset portfolio solutionsIn this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
http://www.risk.net/journal-of-investment-strategies/5443211/a-risk-based-approach-to-construct-multi-asset-portfolio-solutions
http://www.risk.net/journal-of-investment-strategies/5443211/a-risk-based-approach-to-construct-multi-asset-portfolio-solutions
Thu, 08 Mar 2018 12:17:21 +0000 The present of futuresFabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments http://www.risk.net/derivatives/5438851/the-present-of-futures
http://www.risk.net/derivatives/5438851/the-present-of-futuresFri, 02 Mar 2018 11:46:14 +0000Navigating the new energy market dynamics Utilities need to adopt new decision-making tools in order to compete in the “new normal” environment of renewable energy supply http://www.risk.net/cutting-edge/energy/5437176/navigating-the-new-energy-market-dynamics
http://www.risk.net/cutting-edge/energy/5437176/navigating-the-new-energy-market-dynamicsThu, 01 Mar 2018 17:10:14 +0000Shapley allocation, diversification and services in operational riskIn this paper, the authors propose a method of allocating operational risk regulatory capital using a closed-form Shapley method, applicable to a large number of business units (BUs).
http://www.risk.net/journal-of-operational-risk/5438696/shapley-allocation-diversification-and-services-in-operational-risk
http://www.risk.net/journal-of-operational-risk/5438696/shapley-allocation-diversification-and-services-in-operational-risk
Thu, 01 Mar 2018 13:24:19 +0000 Modeling catastrophic operational risk using a compound Neyman–Scott clustering modelIn this paper, the authors discuss the hazard generated by OpRisk driven by natural and human-made disasters, and argue the position of the LDA as the most-fitted statistical approach to deal with it.
http://www.risk.net/journal-of-operational-risk/5430331/modeling-catastrophic-operational-risk-using-a-compound-neyman-scott-clustering-model
http://www.risk.net/journal-of-operational-risk/5430331/modeling-catastrophic-operational-risk-using-a-compound-neyman-scott-clustering-model
Fri, 23 Feb 2018 11:19:37 +0000 The absence of evidence and the evidence of absence: an algorithmic approach for identifying operational outages in TARGET2This paper implements an algorithmic approach to identify participants’operational outages based on transaction data.
http://www.risk.net/journal-of-financial-market-infrastructures/5415136/the-absence-of-evidence-and-the-evidence-of-absence-an-algorithmic-approach-for-identifying-operational-outages-in-target2
http://www.risk.net/journal-of-financial-market-infrastructures/5415136/the-absence-of-evidence-and-the-evidence-of-absence-an-algorithmic-approach-for-identifying-operational-outages-in-target2
Fri, 16 Feb 2018 10:41:00 +0000 Distributed ledger technology in payments, clearing and settlementThis paper examines how DLT can be used in the area of PCS, and identifies both the opportunities and challenges associated with its long-term implementation and adoption.
http://www.risk.net/journal-of-financial-market-infrastructures/5415116/distributed-ledger-technology-in-payments-clearing-and-settlement
http://www.risk.net/journal-of-financial-market-infrastructures/5415116/distributed-ledger-technology-in-payments-clearing-and-settlement
Fri, 16 Feb 2018 10:39:52 +0000 Risk mutualization and financial stability: recovering and resolving a central counterpartyThis paper investigates how financial market participants respond to risk mutualization implemented by a CCP using assessments after a large credit loss.
http://www.risk.net/journal-of-financial-market-infrastructures/5384666/risk-mutualization-and-financial-stability-recovering-and-resolving-a-central-counterparty
http://www.risk.net/journal-of-financial-market-infrastructures/5384666/risk-mutualization-and-financial-stability-recovering-and-resolving-a-central-counterparty
Fri, 16 Feb 2018 10:38:28 +0000 SPEI’s diary: econometric analysis of a dynamic networkThis paper identifies the determinants behind the dynamics of the real-time settlement payment system in Mexico, SPEI, during the period January 2005–December 2015.
http://www.risk.net/journal-of-financial-market-infrastructures/5384371/speis-diary-econometric-analysis-of-a-dynamic-network
http://www.risk.net/journal-of-financial-market-infrastructures/5384371/speis-diary-econometric-analysis-of-a-dynamic-network
Fri, 16 Feb 2018 10:35:28 +0000 FMIC 2 special issue introduction: a policy view on developments in the field of financial market infrastructuresThis introductory article positions these papers and speeches within the context of the wider conference proceedings of the Financial Market Infrastructure Conference II: New Thinking in a New Era, including insights from the panel sessions and surrounding discussions.
http://www.risk.net/journal-of-financial-market-infrastructures/5415141/fmic-2-special-issue-introduction-a-policy-view-on-developments-in-the-field-of-financial-market-infrastructures
http://www.risk.net/journal-of-financial-market-infrastructures/5415141/fmic-2-special-issue-introduction-a-policy-view-on-developments-in-the-field-of-financial-market-infrastructures
Fri, 16 Feb 2018 10:34:23 +0000 Central counterparties and systemic stabilityThe paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
http://www.risk.net/journal-of-financial-market-infrastructures/5414001/central-counterparties-and-systemic-stability
http://www.risk.net/journal-of-financial-market-infrastructures/5414001/central-counterparties-and-systemic-stability
Fri, 16 Feb 2018 10:30:41 +0000 Mostly prior-free asset allocationThis paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially nonstationary returns.
http://www.risk.net/journal-of-risk/5416616/mostly-prior-free-asset-allocation
http://www.risk.net/journal-of-risk/5416616/mostly-prior-free-asset-allocation
Wed, 14 Feb 2018 13:21:23 +0000 A copula approach to credit valuation adjustment for swaps under wrong-way riskThis paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
http://www.risk.net/journal-of-credit-risk/5415416/a-copula-approach-to-cva-for-swaps-under-wrong-way-risk
http://www.risk.net/journal-of-credit-risk/5415416/a-copula-approach-to-cva-for-swaps-under-wrong-way-risk
Tue, 13 Feb 2018 15:45:07 +0000 When do central counterparties enhance market stability?This paper examines the impact of market structure and payment assumptions on the fragility of various networks.
http://www.risk.net/journal-of-financial-market-infrastructures/5384796/when-do-central-counterparties-enhance-market-stability
http://www.risk.net/journal-of-financial-market-infrastructures/5384796/when-do-central-counterparties-enhance-market-stability
Tue, 13 Feb 2018 14:19:28 +0000 The impact of unconventional monetary policy shocks on the crude oil futures marketThis paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
http://www.risk.net/journal-of-energy-markets/5413911/the-impact-of-unconventional-monetary-policy-shocks-on-the-crude-oil-futures-market
http://www.risk.net/journal-of-energy-markets/5413911/the-impact-of-unconventional-monetary-policy-shocks-on-the-crude-oil-futures-market
Mon, 12 Feb 2018 15:05:14 +0000 Foreign exchange correlation swap: problem solver or troublemaker?
http://www.risk.net/derivatives/5413731/foreign-exchange-correlation-swap-problem-solver-or-troublemaker
http://www.risk.net/derivatives/5413731/foreign-exchange-correlation-swap-problem-solver-or-troublemakerMon, 12 Feb 2018 14:12:36 +0000