Journals
Berms without calibration
This paper suggests semi-analytical pricing model for Bermudan swaptions based on swap-rate distributions and the correlations between them which does not require product specific calibration.
The consequences of the Basel III requirements for the liquidity horizon and their implications for optimal trading strategy
The authors put forward a formula-based approach for determining the optimal liquidity horizon used in scaling the base expected shortfall under Basel III.
A theoretical risk analysis of the "Adogbè" savings product as alternative and decentralized microenterprise financing
This paper discloses the risks associated with Adogbè savings products in Benin.
Technical trading versus buy and hold: a framework using common indicators in the US stock market
The author proposes a technical trading framework which incorporates trend-following, conditional active trading, stop-loss mechanisms and trading volume in formulating strategies
Navigating investment choices: determinants of corporate investment strategies in Japan’s nonfinancial sector
Focussing on Japanese nonfinancial firms, the authors investigate which factors, such as interest rates and stock price, influence investment strategies.
The role of Indian equity exchange-traded funds in diversified portfolios: a risk-adjusted performance analysis
The authors evaluate how Indian equity ETFs perform relative to US and global benchmarks between 2008 and 2023.
A credit card fraud detection model based on a stacked temporospatial graph attention residual network
The authors put forward a model based on a stacked temporospatial graph attention residual network dedicated to credit card fraud detection.
Asymptotic behavior of systemic risk based on the higher-moment capital allocation
The authors derive asymptotic formulas for systemic expected shortfall and marginal expected shortfall based on higher-moment capital allocation rules and show that systemic risk is asymptotically proportional to value-at-risk.
Forecasting extreme tail risk in China’s banking sector: an approach based on a component generalized autoregressive conditional heteroscedasticity and mixed data sampling model and extreme value theory
The authors put forward a means to forecast extreme tail risk in the Chinese banking sector - the component GARCH-MIDAS-EVT-X model.
Determining the perception of operational risk management practices based on demographic factors in the South African banking sector
The authors present and analyse a survey of various demographic groups and their perception and understanding of risk management in South African banks.
An efficient numerical method for pricing American options and their Greeks under the two-asset Kou jump-diffusion model
This paper presents an efficient numerical method for solving a two-dimensional time-dependent PIDCP for American-style options under the two-asset Kou jump-diffusion model.
Green risk identification and risk measurement in fintech: a particle swarm optimization fuzzy analytic hierarchy process and sparrow search algorithm quantile regression neural network approach
The authors apply PSO-FAHP and SSA-QRNN models to identify and measure financial risks in the fintech sector.
Robust financial calibration: a Bayesian approach for neural stochastic differential equations
This paper offers a Bayesian framework for the calibration of financial models using neural stochastic differential equations.
A primer on generalized weighted risk functionals
The authors put forward a class of generalized weighted risk functionals that incorporates the possibility of arbitrary aggregations, introducing the notion of an aggregation function in the context of the aforementioned weighted risk functionals.
How has the anti-corruption campaign affected operational efficiency? Evidence from a quasi-natural experiment in China
The authors analyze how China's anti-corruption campaign impacted operational efficiency, and offer suggestions for policymakers in emerging economies hoping to improve corporate performance through institutional reforms.
Payment card fraud: revealing the EMV impact in the United States and Europe
The authors investigate the adoption of EMV payment cards and how effective they are at managing credit card fraud in the United States and EU.
A liquidity black hole: what is the impact of a failing participant in a large-value payment system, and does time matter?
The authors out forward a technique with which to detect potential failing participants in large value payment systems as quickly as possible.
Deep self-consistent learning of local volatility
This paper offers an algorithm for calibrating local volatility from market option prices using deep self-consistent learning, by approximating both market option prices and local volatility using deep neural networks.
Quantum-readiness for the financial system: a road map
This paper provides a framework to support the financial system in the transition to quantum-safe cryptographic infrastructures, emphasising the need to start the transition today.
Finite-difference solution ansatz approach in least-squares Monte Carlo
This paper presents a novel technique, which is simple yet effective, to improve the accuracy and stability of the least-squares Monte Carlo method.
The crypto Wild West: a deep dive into the market volatility of junk coins versus Bitcoin
The authors assess the volatility of Bitcoin returns versus those of Dogecoin, Shiba Inu and Baby Doge Coin, finding that Bitcoin exhibits lower volatility and is the benchmark cryptoasset.