Technical paper - Risk.net
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en-gbAdapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
http://www.risk.net/journal-of-credit-risk/5294986/adapting-the-basel-ii-advanced-internal-ratings-based-models-for-international-financial-reporting-standard-9
http://www.risk.net/journal-of-credit-risk/5294986/adapting-the-basel-ii-advanced-internal-ratings-based-models-for-international-financial-reporting-standard-9
Thu, 22 Jun 2017 15:35:15 +0100 Primary-firm-driven portfolio lossThis paper describes a simple model that can be used for risk management.
http://www.risk.net/journal-of-credit-risk/5294956/primary-firm-driven-portfolio-loss
http://www.risk.net/journal-of-credit-risk/5294956/primary-firm-driven-portfolio-loss
Thu, 22 Jun 2017 15:10:22 +0100 Portfolio credit risk model with extremal dependence of defaults and random recoveryThis paper proposes a portfolio credit risk model with random recovery rates.
http://www.risk.net/journal-of-credit-risk/5294931/portfolio-credit-risk-model-with-extremal-dependence-of-defaults-and-random-recovery
http://www.risk.net/journal-of-credit-risk/5294931/portfolio-credit-risk-model-with-extremal-dependence-of-defaults-and-random-recovery
Thu, 22 Jun 2017 14:55:22 +0100 Statistical testing of DeMark technical indicators on commodity futuresThis paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
http://www.risk.net/journal-of-investment-strategies/5293521/statistical-testing-of-demark-technical-indicators-on-commodity-futures
http://www.risk.net/journal-of-investment-strategies/5293521/statistical-testing-of-demark-technical-indicators-on-commodity-futures
Tue, 20 Jun 2017 13:43:38 +0100 Correctness of backtest enginesIn this paper, the authors provide tools to test the correctness of backtest engines for setups with at most one entry and one exit.
http://www.risk.net/journal-of-investment-strategies/5293511/correctness-of-backtest-engines
http://www.risk.net/journal-of-investment-strategies/5293511/correctness-of-backtest-engines
Tue, 20 Jun 2017 13:27:17 +0100 Black–Litterman, exotic beta and varying efficient portfolios: an integrated approachThis paper brings Black–Litterman optimization, exotic betas and varying starting portfolios together into one complete, symbiotic framework.
http://www.risk.net/journal-of-investment-strategies/5293501/black-litterman-exotic-beta-and-varying-efficient-portfolios-an-integrated-approach
http://www.risk.net/journal-of-investment-strategies/5293501/black-litterman-exotic-beta-and-varying-efficient-portfolios-an-integrated-approach
Tue, 20 Jun 2017 13:09:56 +0100 Agnostic risk parity: taming known and unknown unknownsThis paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.
http://www.risk.net/journal-of-investment-strategies/5293476/agnostic-risk-parity-taming-known-and-unknown-unknowns
http://www.risk.net/journal-of-investment-strategies/5293476/agnostic-risk-parity-taming-known-and-unknown-unknowns
Tue, 20 Jun 2017 12:37:13 +0100 Optimal management of green certificates in the Swedish–Norwegian marketThis 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.
http://www.risk.net/journal-of-energy-markets/5287331/optimal-management-of-green-certificates-in-the-swedish-norwegian-market
http://www.risk.net/journal-of-energy-markets/5287331/optimal-management-of-green-certificates-in-the-swedish-norwegian-market
Wed, 14 Jun 2017 10:19:02 +0100 Bounding BermudansThomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions http://www.risk.net/derivatives/5288146/bounding-bermudans
http://www.risk.net/derivatives/5288146/bounding-bermudansWed, 14 Jun 2017 09:37:25 +0100A note on the statistical robustness of risk measuresThis paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
http://www.risk.net/journal-of-operational-risk/5277456/a-note-on-the-statistical-robustness-of-risk-measures
http://www.risk.net/journal-of-operational-risk/5277456/a-note-on-the-statistical-robustness-of-risk-measures
Tue, 13 Jun 2017 12:46:54 +0100 Model calibration with neural networksAndres Hernandez presents a neural network approach to speed up model calibration http://www.risk.net/derivatives/5288126/model-calibration-with-neural-networks
http://www.risk.net/derivatives/5288126/model-calibration-with-neural-networksFri, 09 Jun 2017 16:34:36 +0100Modeling superior predictors for crude oil pricesThis paper provides an analysis of a broad spectrum of fundamental and nonfundamental indicators for crude oil prices.
http://www.risk.net/journal-of-energy-markets/5285396/modeling-superior-predictors-for-crude-oil-prices
http://www.risk.net/journal-of-energy-markets/5285396/modeling-superior-predictors-for-crude-oil-prices
Fri, 09 Jun 2017 10:19:57 +0100 Stress hedging in portfolio constructionBilgili, Ferconi and Ulitsky propose a constrained portfolio optimisation approach incorporating stress scenarios http://www.risk.net/risk-management/5287961/stress-hedging-in-portfolio-construction
http://www.risk.net/risk-management/5287961/stress-hedging-in-portfolio-constructionWed, 07 Jun 2017 16:09:56 +0100Barriers for district heating as a source of flexibility for the electricity systemIn this paper, the authors investigate the barriers to including DH as a flexible resource for the electricity market in Denmark, Norway and Sweden.
http://www.risk.net/journal-of-energy-markets/5283956/barriers-for-district-heating-as-a-source-of-flexibility-for-the-electricity-system
http://www.risk.net/journal-of-energy-markets/5283956/barriers-for-district-heating-as-a-source-of-flexibility-for-the-electricity-system
Tue, 06 Jun 2017 10:39:59 +0100 Various approximations of the total aggregate loss quantile function with application to operational riskThis paper investigates the mechanics of the empirical aggregate loss bootstrap distribution.
http://www.risk.net/journal-of-operational-risk/5277326/various-approximations-of-the-total-aggregate-loss-quantile-function-with-application-to-operational-risk
http://www.risk.net/journal-of-operational-risk/5277326/various-approximations-of-the-total-aggregate-loss-quantile-function-with-application-to-operational-risk
Mon, 05 Jun 2017 09:56:50 +0100 Simple models in finance: a mathematical analysis of the probabilistic recognition heuristicIn this paper, the authors present a general model of the recognition heuristic that assumes that objects’ recognition is random.
http://www.risk.net/journal-of-risk-model-validation/5277036/simple-models-in-finance-a-mathematical-analysis-of-the-probabilistic-recognition-heuristic
http://www.risk.net/journal-of-risk-model-validation/5277036/simple-models-in-finance-a-mathematical-analysis-of-the-probabilistic-recognition-heuristic
Fri, 02 Jun 2017 14:39:46 +0100 A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companiesIn 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.
http://www.risk.net/journal-of-risk-model-validation/5277031/a-gradient-boosting-decision-tree-approach-for-firm-failure-prediction-an-empirical-model-evaluation-of-chinese-listed-companies
http://www.risk.net/journal-of-risk-model-validation/5277031/a-gradient-boosting-decision-tree-approach-for-firm-failure-prediction-an-empirical-model-evaluation-of-chinese-listed-companies
Fri, 02 Jun 2017 14:26:42 +0100 Optimal execution of accelerated share repurchase contracts with fixed notionalThis paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.
http://www.risk.net/journal-of-risk/5275591/optimal-execution-of-accelerated-share-repurchase-contracts-with-fixed-notional
http://www.risk.net/journal-of-risk/5275591/optimal-execution-of-accelerated-share-repurchase-contracts-with-fixed-notional
Wed, 31 May 2017 11:41:54 +0100 On empirical likelihood option pricingThis paper investigates the application of the empirical likelihood method in the study of option pricing.
http://www.risk.net/journal-of-risk/5275541/on-empirical-likelihood-option-pricing
http://www.risk.net/journal-of-risk/5275541/on-empirical-likelihood-option-pricing
Wed, 31 May 2017 11:11:33 +0100 Optimal oil production under mean-reverting Lévy models with regime switchingThis paper models the evolution of the oil price as a mean-reverting regime-switching jump–diffusion process.
http://www.risk.net/journal-of-energy-markets/5273576/optimal-oil-production-under-mean-reverting-levy-models-with-regime-switching
http://www.risk.net/journal-of-energy-markets/5273576/optimal-oil-production-under-mean-reverting-levy-models-with-regime-switching
Thu, 25 May 2017 10:55:59 +0100 Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-riskThis paper aims to model the impact of extreme stock jumps on REIT returns.
http://www.risk.net/journal-of-risk-model-validation/5268606/modeling-impacts-of-stock-jumps-on-real-estate-investment-trust-returns-with-application-to-value-at-risk
http://www.risk.net/journal-of-risk-model-validation/5268606/modeling-impacts-of-stock-jumps-on-real-estate-investment-trust-returns-with-application-to-value-at-risk
Mon, 22 May 2017 09:57:51 +0100 Pricing and hedging options with rollover parametersThis paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
http://www.risk.net/journal-of-risk/5267561/pricing-and-hedging-options-with-rollover-parameters
http://www.risk.net/journal-of-risk/5267561/pricing-and-hedging-options-with-rollover-parameters
Thu, 18 May 2017 10:45:32 +0100 Forecasting scenarios from the perspective of a reverse stress test using second-order cone programmingThis paper proposes a model for forecasting scenarios from the perspective of a reverse stress test using interest rate, equity and foreign exchange data.
http://www.risk.net/journal-of-risk-model-validation/5267071/forecasting-scenarios-from-the-perspective-of-a-reverse-stress-test-using-second-order-cone-programming
http://www.risk.net/journal-of-risk-model-validation/5267071/forecasting-scenarios-from-the-perspective-of-a-reverse-stress-test-using-second-order-cone-programming
Wed, 17 May 2017 13:08:45 +0100 Does higher-frequency data always help to predict longer-horizon volatility?This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.
http://www.risk.net/journal-of-risk/5264146/does-higher-frequency-data-always-help-to-predict-longer-horizon-volatility
http://www.risk.net/journal-of-risk/5264146/does-higher-frequency-data-always-help-to-predict-longer-horizon-volatility
Thu, 11 May 2017 12:08:55 +0100 Model-free valuation of barrier optionsAusting and Li provide a continuous barrier options pricing formula that fits the volatility smile http://www.risk.net/derivatives/5226411/model-free-valuation-of-barrier-options
http://www.risk.net/derivatives/5226411/model-free-valuation-of-barrier-optionsWed, 03 May 2017 14:35:26 +0100A sound modelling and backtesting framework for forecasting initial margin requirementsAnfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM http://www.risk.net/risk-management/5226196/a-sound-modelling-and-backtesting-framework-for-forecasting-initial-margin-requirements
http://www.risk.net/risk-management/5226196/a-sound-modelling-and-backtesting-framework-for-forecasting-initial-margin-requirementsWed, 03 May 2017 14:33:45 +0100Does initial margin eliminate counterparty risk?Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting http://www.risk.net/risk-management/5209111/does-initial-margin-eliminate-counterparty-risk
http://www.risk.net/risk-management/5209111/does-initial-margin-eliminate-counterparty-riskTue, 02 May 2017 17:11:36 +0100Managing energy market volumetric riskKrzysztof Wolyniec presents a volumetric risk management model for energy markets http://www.risk.net/commodities/5092271/managing-energy-market-volumetric-risk
http://www.risk.net/commodities/5092271/managing-energy-market-volumetric-riskFri, 28 Apr 2017 14:46:22 +0100Goodness-of-fit for discrete-choice models of borrower defaultThis paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities.
http://www.risk.net/journal-of-risk-model-validation/4992916/goodness-of-fit-for-discrete-choice-models-of-borrower-default
http://www.risk.net/journal-of-risk-model-validation/4992916/goodness-of-fit-for-discrete-choice-models-of-borrower-default
Fri, 21 Apr 2017 14:54:35 +0100 Are the GIPS sovereign debt markets efficient during a crisis?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
http://www.risk.net/journal-of-risk/4973941/are-the-gips-sovereign-debt-markets-efficient-during-a-crisis
http://www.risk.net/journal-of-risk/4973941/are-the-gips-sovereign-debt-markets-efficient-during-a-crisis
Thu, 20 Apr 2017 15:46:18 +0100 Liquidity risk management implementation for selected Islamic banks in PakistanThe 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.
http://www.risk.net/journal-of-risk/4973926/liquidity-risk-management-implementation-for-selected-islamic-banks-in-pakistan
http://www.risk.net/journal-of-risk/4973926/liquidity-risk-management-implementation-for-selected-islamic-banks-in-pakistan
Thu, 20 Apr 2017 15:42:37 +0100 Time-varying beta and the global financial crisis: evidence from Chinese and Indian firmsThis paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India.
http://www.risk.net/journal-of-risk/4973716/time-varying-beta-and-the-global-financial-crisis-evidence-from-chinese-and-indian-firms
http://www.risk.net/journal-of-risk/4973716/time-varying-beta-and-the-global-financial-crisis-evidence-from-chinese-and-indian-firms
Thu, 20 Apr 2017 15:33:48 +0100 Basel III implementation outcome in Islamic banksThis 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.
http://www.risk.net/journal-of-risk/4973711/basel-iii-implementation-outcome-in-islamic-banks
http://www.risk.net/journal-of-risk/4973711/basel-iii-implementation-outcome-in-islamic-banks
Thu, 20 Apr 2017 15:27:03 +0100 Mixing SABR models for negative ratesAntonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model http://www.risk.net/derivatives/interest-rate-derivatives/4717846/mixing-sabr-models-for-negative-rates
http://www.risk.net/derivatives/interest-rate-derivatives/4717846/mixing-sabr-models-for-negative-ratesFri, 07 Apr 2017 14:32:28 +0100Fast and precautious: order controls for trade executionAlgo traders propose a new optimal execution algorithm with both limit and market orders http://www.risk.net/asset-management/4682041/fast-and-precautious-order-controls-for-trade-execution
http://www.risk.net/asset-management/4682041/fast-and-precautious-order-controls-for-trade-executionThu, 06 Apr 2017 12:33:35 +0100P&L attribution for energy portfolios with non-linear exposuresCarlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities, be an effective way of benchmarking mark-to-model values, and identify key sources of risk and return on energy portfolios http://www.risk.net/cutting-edge/energy/4475266/pl-attribution-for-energy-portfolios-with-non-linear-exposures
http://www.risk.net/cutting-edge/energy/4475266/pl-attribution-for-energy-portfolios-with-non-linear-exposuresMon, 03 Apr 2017 11:05:10 +0100Default risk charge: modeling framework for the “Basel” risk measureThis paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
http://www.risk.net/journal-of-risk/4562696/default-risk-charge-modeling-framework-for-the-basel-risk-measure
http://www.risk.net/journal-of-risk/4562696/default-risk-charge-modeling-framework-for-the-basel-risk-measure
Thu, 30 Mar 2017 12:44:10 +0100 A new bootstrap test for multiple assets joint risk testingIn this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.
http://www.risk.net/journal-of-risk/4562496/a-new-bootstrap-test-for-multiple-assets-joint-risk-testing
http://www.risk.net/journal-of-risk/4562496/a-new-bootstrap-test-for-multiple-assets-joint-risk-testing
Thu, 30 Mar 2017 12:29:19 +0100 A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currenciesThis paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.
http://www.risk.net/journal-of-risk/4562291/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
http://www.risk.net/journal-of-risk/4562291/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
Thu, 30 Mar 2017 12:12:29 +0100 Quantifying the diversity of news around stock market movesIn 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.
http://www.risk.net/journal-of-network-theory-in-finance/4318071/quantifying-the-diversity-of-news-around-stock-market-moves
http://www.risk.net/journal-of-network-theory-in-finance/4318071/quantifying-the-diversity-of-news-around-stock-market-moves
Wed, 22 Mar 2017 11:46:40 +0000 A network model for central counterparty liquidity risk stress testing under incomplete informationThe authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
http://www.risk.net/journal-of-financial-market-infrastructures/4294266/a-network-model-for-central-counterparty-liquidity-risk-stress-testing-under-incomplete-information
http://www.risk.net/journal-of-financial-market-infrastructures/4294266/a-network-model-for-central-counterparty-liquidity-risk-stress-testing-under-incomplete-information
Tue, 21 Mar 2017 11:23:46 +0000 The recent crises and central counterparty risk practices in the light of procyclicality: empirical evidenceThis paper focuses on the risk practices of Central Counterparties in the light of their potentially procyclical features.
http://www.risk.net/journal-of-financial-market-infrastructures/4124746/the-recent-crises-and-central-counterparty-risk-practices-in-the-light-of-procyclicality-empirical-evidence
http://www.risk.net/journal-of-financial-market-infrastructures/4124746/the-recent-crises-and-central-counterparty-risk-practices-in-the-light-of-procyclicality-empirical-evidence
Wed, 15 Mar 2017 16:19:53 +0000 I’ve got you under my skin: large central counterparty financial resources and the incentives they create
http://www.risk.net/journal-of-financial-market-infrastructures/4006531/ive-got-you-under-my-skin-large-central-counterparty-financial-resources-and-the-incentives-they-create
http://www.risk.net/journal-of-financial-market-infrastructures/4006531/ive-got-you-under-my-skin-large-central-counterparty-financial-resources-and-the-incentives-they-create
Thu, 09 Mar 2017 10:00:00 +0000 Optimal trading with linear and (small) non-linear costsBouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs http://www.risk.net/asset-management/3964451/optimal-trading-with-linear-and-small-non-linear-costs
http://www.risk.net/asset-management/3964451/optimal-trading-with-linear-and-small-non-linear-costsTue, 07 Mar 2017 04:00:00 +0000Derivatives funding, netting and accountingChristoph Burgard and Mats Kjaer expand their semi-replication framework to multiple counterparties http://www.risk.net/cutting-edge/banking/3964311/derivatives-funding-netting-and-accounting
http://www.risk.net/cutting-edge/banking/3964311/derivatives-funding-netting-and-accountingMon, 06 Mar 2017 13:55:00 +0000Nonstationarity of the intraday individual and collective seasonalities of price fluctuationsThis 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.
http://www.risk.net/journal-of-network-theory-in-finance/3950896/nonstationarity-of-the-intraday-individual-and-collective-seasonalities-of-price-fluctuations
http://www.risk.net/journal-of-network-theory-in-finance/3950896/nonstationarity-of-the-intraday-individual-and-collective-seasonalities-of-price-fluctuations
Fri, 03 Mar 2017 14:00:00 +0000 Investment opportunities forecasting: a genetic programming-based dynamic portfolio trading system under a directional-change frameworkThis paper presents an autonomous effective trading system devoted to the support of decision-making processes in the financial market domain.
http://www.risk.net/journal-of-computational-finance/3946026/investment-opportunities-forecasting-a-genetic-programming
http://www.risk.net/journal-of-computational-finance/3946026/investment-opportunities-forecasting-a-genetic-programming
Fri, 03 Mar 2017 09:30:00 +0000 Efficient pricing and super-replication of corridor variance swaps and related productsThis paper proposes a method for overhedging weighted variance using only a finite number of maturities.
http://www.risk.net/journal-of-computational-finance/3945866/efficient-pricing-and-super-replication-of-corridor-variance-swaps-and-related-products
http://www.risk.net/journal-of-computational-finance/3945866/efficient-pricing-and-super-replication-of-corridor-variance-swaps-and-related-products
Thu, 02 Mar 2017 10:10:19 +0000 Stochastic loss given default and exposure at default in a structural model of portfolio credit riskThe 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 levels.
http://www.risk.net/journal-of-credit-risk/3937681/stochastic-loss-given-default-and-exposure-at-default-in-a-structural-model-of-portfolio-credit-risk
http://www.risk.net/journal-of-credit-risk/3937681/stochastic-loss-given-default-and-exposure-at-default-in-a-structural-model-of-portfolio-credit-risk
Mon, 27 Feb 2017 10:05:47 +0000 A structural model for estimating losses associated with the mis-selling of retail banking productsIn this paper, a structural model is presented for estimating losses associated with the mis-selling of retail banking products. It is the first paper to consider factor-based modeling for this operational/conduct risk scenario.
http://www.risk.net/journal-of-operational-risk/3937336/a-structural-model-for-estimating-losses-associated-with-the-mis-selling-of-retail-banking-products
http://www.risk.net/journal-of-operational-risk/3937336/a-structural-model-for-estimating-losses-associated-with-the-mis-selling-of-retail-banking-products
Fri, 24 Feb 2017 15:52:46 +0000