Journals
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.
An aggregated metrics framework for multicriteria model validation using rolling origin evaluation
The authors apply the rolling origin evaluation framework to model validation in multicriteria settings, where performance must be assessed through various scenarios or forecast targets.
A robust distorted Orlicz premium: modeling, computational scheme and applications
This paper introduces the distorted Orlicz premium in an extension of Bellini et al's robust Orcliz premium and extend this to the Haezendonck–Goovaerts risk measure.
The implications of extraordinary speed in contemporary financial markets trading
This paper shows how high-frequency traders cancel many trading orders within 20 milliseconds of submission and proposes batch auctions to mitigate queuing risk for high-frequency traders.
Modeling coskewness with zero correlation and correlation with zero coskewness
The authors demonstrate that care should be taken when discussing potential links between correlation and coskewness, showing that any possible values of coskewness among symmetric random variables but zero pairwise correlations of these variables can be…
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Probabilistic classification with discriminative and generative models: credit-scoring application
The author investigates how probabilistic classification can be used to enhance credit-scoring accuracy, offering a robust means for assessing model performance under various reliability criteria
Quantifying renewables reliability risk in modern and future electricity grids
The authors suggest and demonstrate a means to quantify, allocate and account for the risk introduced to electricity production from the unpredictable intermittency of renewable energy sources.
Hierarchical allocation method for capital: a general method
The authors present a new technique to allocate a bank's risk capital across portfolios and transactions that can be applied to most risk capital types.
Incorporating economic outlook into exposure at default models
This paper outlines a new means to include macroeconomic variables in exposure at default models while satisfying all IFRS 9 expectations.
Including climate-induced jumps in forward price trends in wholesale energy markets
Using an Ornstein–Uhlenbeck stochastic process as their starting point, the authors suggest a forward contract pricing model which incorporates a climate risk factor.
The connectedness, structure and performance of different financial networks
The authors investigate network construction methods in accurately depicting spillover effects among financial institutions.
Key principles for operational risk stress testing design and evaluation
The author surveys operational stress testing methods and proposes a conceptual framework for designing operational risk stress tests.</li>
International evidence on the industrial affordability of deep decarbonization
The authors analyse industries of varying degrees of carbon intensity in IEA countries and investigate to what extent deep decarbonisation will be affordable.
Charting the landscape of short selling: an infometric study shaped by market sentiments
The authors aim to clarify the formulation of short-selling scenarios by providing a comprehensive bibliometric review of research in areas surrounding the topic.
National geopolitical risk perception and corporate innovation
The authors investigate how national geopolitical risk perception can impact corporate innovation behavior and its underlying mechanisms.
Addressing climate-related risks in banking: a framework for sustainable risk management and regulatory alignment
This paper puts forward a dual-layer approach to climate risk management with utilises root cause-based analysis and severity assessments to prioritize and address climate-related risks.
Public interest assessment in resolution of small and medium-sized banks in the European Union
This paper studies key determinants of public interest assessments in EU bank resolution with a focus on three factors: systemic risk, bank size and bank localness.
A minimum sample size definition for the purpose of loss provision extrapolation in the presence of default correlation
The author applies the Bernoulli distribution to an extrapolation of the capital provision that does not take into account the possible existence of a default correlation.
The effect of environmental, social and governance disclosure on corporate investment efficiency
Investigating the impact of environmental, social and governance (ESG) disclosure on investment efficiency, the authors' findings suggest that nonfinancial disclosure mandates can alleviate capital rationing issues for underinvesting firms.
Variance estimation for the quantification of the margin of conservatism category C
This paper discusses a new estimator for probability of default and compare its performance against two alternative approaches, demonstrating the novel method to have a lower bias and variance.
Do earnings events reset the trading clock?
This paper uses a large number of earnings events from which the subset of outcomes for which the price strongly increased or declined into the earnings date.