Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
The authors consider conditional and unconditional intraday value-at-risk models for high-frequency exchange-traded funds, providing results useful to practitioners of high-frequency trading.
The authors employ a data set of over 5 million German auto loans to investigate credit contagion risk and show that defaults cannot be attributed to single factors.
The authors investigate the tail sensitivity of US industry returns in relation to changes of carbon-driven climate risk, finding that tail sensitivities rise with the greenhouse has emissions of an industry.
This paper proposes the use of neural stochastic differential equations as a means to learn approximately optimal control variates, reducing variance as trajectories of the SDEs are simulated.
The authors investigate a problem of optimal insurance in which the insured and the insure hold heterogenous beliefs concerning loss distribution and demonstrate their results with analytical and numerical examples.
Nonbanking financial institutions and sustainability issues: empirical evidence on the impact of environmental, social and governance scores on market performance
The authors investigate relationships between environmental, social and governance scores and market-to-book ratios using data from North American and European nonbanking financial institutions.
The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
This paper presents a unifying theoretical setting to introduce an autocorrelation model and derives an optimal portfolio based on a trend-following signal.
The authors investigate risk in relation to peak-to-valley market drawdowns and aim to gain insights into the drawdown behaviour of asset classes across time intervals.
This paper proposes a means to determine whether a a calculated VaR is "too large" and give a definition of this term within the context.
Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay
The author proposes methods for how contractors may attempt to mitigate exchange rate risks in hybrid payment systems and validates these with empirical data from a hypothetical project.
The authors use data from Chinese commercial banks to investigate relationships between the development and adoption of fintech and the revenue and risk of commercial banks.
The authors compare ex post arbitrage trading with pair-trading on the German intraday power market and how each method may be optimised.
The author presents models for improved Value-at-Risk forecasts and joint forecasts of Value at Risk and Expected Shortfall and demonstrates that high-frequency-data-based realized quantities lead to better forecasts.
The authors put forward a stock-bond portfolio selection model which is based on CreditMetrics principles in which market and credit risks are naturally integrated.
The authors propose and demonstrate the value of a model with which mathematical techniques can be applied to analytically calculate means, variances and covariances more accurately than Monte Carlo simulations.
The authors demonstrate that Wald tests are prone to numerical instability when accounting for short sales.
We carry out a review of the management of legal risk in Polish banks and use empirical research to demonstrate how these risks are managed.
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction
The authors offer a model which investigates the impact of trade war expectations, policy news, trading volume and cashflow on the relationship between trade war expectations and bubbles.
Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States
The authors offer an estimate of how much incremental wind energy development could happen while avoiding inadequate investment incentives for wind and natural-gas-fired generation in day-ahead and real-time markets.
This paper investigates the contrarian strategy against US equities, finding that for samples where the previous day's daily return on the S&P 500 is positive (negative), the next day's intraday returns on Japanese stock-index futures will be the inverse…
Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic
Following the Covid-19 pandemic, the authors use the time-varying parameter vector autoregression approach to to explore the connectedness between cryptocurrencies and international energy markets from 2018 to 2021.
The author offers a statistical characterization of the US stock market from January 3, 1995 to June 11, 2021.