Journals
Balance sheet decomposition of crypto, stablecoin, central bank digital currency and tokenized assets
The authors construct a multi-entity balance sheet framework which incorporates cryptocurrencies, stablecoins, central bank digital currencies and tokenized real-world assets.
Beyond mirror validation: the cost of ineffective challenge in model risk management
Identifying supply chain credit risk in China’s textile industry using an ensemble explainable artificial intelligence model
Bayesian unsmoothing for private market investments: a probabilistic approach to risk estimation
A hybrid value-at-risk/estimated shortfall model: linking accuracy, calibration and explanation stability across horizons
In an effort to close the gap between predictive performance and auditability in hybrid risk models the authors put forward an auditable hybrid quantile framework that anchors nonlinear gradient boosting corrections to a linear heterogeneous…
Health composite indexes and the indoor energy poverty nexus: evidence from France
This paper investigates relationships between energy poverty and health and suggests policies that may alleviate energy poverty.
The application of a corporate bond default risk-identification model to digital economic security
This paper proposes a CatBoost-based model incorporating corporate revenue performance and governance metrics to assess the likelihood of bond default and improve prediction accuracy.
A robust hybrid structural learning framework for robust structural learning and feature selection for credit risk prediction
The authors propose a robust hybrid structural learning framework for feature selection designed to address key challenges in credit risk prediction.
A methodology to measure the impacts of scenarios through expected credit losses
The authors propose a framework for measuring the impact of scenarios on the expected losses of exposures by leveraging the existing provisioning infrastructure within financial institutions.
A piecewise model for vanilla option pricing
The author puts forward simple static model for the arbitrage-free pricing of call and put options which captures the volatility smile and continues to use the classical Black and Bachelier formulas.
An expert-validated risk assessment framework for bank IT supply chain management
The authors propose and validate an expert-based risk assessment framework to manage IT supply chain risks in the banking sector.
Enterprise risk management and corporate financial outcomes: empirical evidence from Indian firms
The authors investigate how enterprise risk management practices impact the capital structure and performance of Indian firms listed in the S&P BSE 500 index.
Profit-guaranteed locational marginal price computation in non-convex electricity markets using sequential linear programming
The authors put forward a locational marginal pricing scheme based on a primal–dual formulation for a market-clearing model that accounts for non-convexities related to fixed startup/shutdown and no-load costs, minimum generation, up/down time and…
Risk-neutral return distributions as investment opportunities
This paper develops means to assess investment-value-based risk-neutral distributions and from these nonzero mean returns are extracted.
High-performance applications of the nonuniform fast Fourier transform to option pricing
The authors propose a framework for Fourier-based option pricing overcoming key limitations of standard fast Fourier transform methods.
Optimality, sparsity and regularization parameter analysis for a risk diversification portfolio selection model
This paper introduce the risk diversification mean–variance model: a convergent numerical algorithm for portfolio optimization in a model that mitigates against the risk of drastic market downturns while controlling transaction costs.
A money view of offline payment functionality
This paper investigates proposals on equipping payment systems with offline functionality, and offers suggestions on what an offline-capable instant payment system should look like.
Forecasting realized volatility with the implied volatility surface: an image-based approach
This paper investigates methods to extract information about an asset’s future risk from the entire implied volatility surface, converting the IVS into a standardized matrix and model it with an image-based approach
Pricing kernel monotonicity and the conservativeness of risk-neutral forecasts
This paper analyses the relationship between option-implied, risk-neutral forecasts and their real-world counterparts through the lens of stochastic dominance and pricing kernel monotonicity.
A generic nonparametric value-at-risk estimator for high dimensions
This paper presents a fast, nonparametric algorithm for VaR and CVaR estimation that remains accurate for an arbitrarily large number of underlying positions.
Quantification of margin of conservatism category C: correlations and quantification levels
The author suggests means for margin of conservatism type C quantification of overlapping one-year default rates and approximate the confidence level for MoC C quantification at grade level.
Bayesian clustering for portfolio credit risk
The authors put forward a Bayesian clustering model for constructing homogeneous risk buckets directly from loan credit histories which assigns weighted memberships across multiple clusters.
AI agents for cash management in payment systems
The authors asses to what extent generative artificial intelligence models can assist with high-level intraday liquidity-management tasks in wholesale payment systems.
Eclipsing the pyramid: stablecoins and settlement
This paper proposes the concept of the "settlement eclipse" which occurs when the settlement function of a layer of the monetary pyramid is occulted by the layer beneath it.