Journals
Efficient trading in taxable portfolios
This paper determines life-cycle trading strategies for portfolios subject to the US tax system.
Exploration risk in international oil and gas shareholder returns
This paper focuses upon the oil and gas industry, examining the association between exploration activity risk and company shareholder returns.
Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methods
This paper sheds light on the entanglement of index weighting schemes.
A Darwinian view on internal models
In this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view.
Risk management and regulation
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
A note on the standard measurement approach versus the loss distribution approach–advanced measurement approach: the dawning of a new regulation
This paper presents a nonexhaustive review of the literature on operational risk quantification under a combination of the loss distribution approach model – the most commonly used of the AMA models – and extreme value theory.
Derivatives pricing under bilateral counterparty risk
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
Networks of log returns and volatilities of international stock market indexes
In this paper, the author builds dynamic networks based on correlation and transfer entropy, using both the log returns and the volatilities of 97 stock market indexes from various parts of the world between 2000 and 2016
Systemic risk management in financial networks with credit default swaps
In this paper the authors study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps sold by other banks.
Leverage and uncertainty
By extending the Kelly criterion to a simple probabilistic model with an additional tail risk outcome associated with uncertainty, this paper looks beyond risk and evaluates how uncertainty constrains optimal leverage.
Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis
Using simulations, the author shows that life-cycle investing implemented on highly profitable and high dividend yield stocks (the profitable dividend yield strategy) provides a compelling solution to the suboptimality problem by leveraging on the…
Enhancing enterprise value by trading options
This paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or…
Ranking the economic importance of countries and industries
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
Asset price bubbles and risk management
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
Fast, accurate and straightforward extreme quantiles of compound loss distributions
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
Central counterparty recovery and resolution: the European perspective
This paper contributes to the literature on the recovery and resolution of central counterparties (CCPs) by exploring the key components of the recent European legislative proposal on the recovery and resolution of CCPs, its main differences with the…
Nonmonotonic trade-offs of tiering in a large-value payment system
This paper studies tiering in the case of a national payment system in an emerging economy: the large-value payment system Sistemas de Cuentas de Depósito (CUD, the Spanish acronym for the Deposit Accounts System) operated by the Colombian central bank.
Nondefault loss allocation at central counterparties
In this paper, the authors answer three questions about the appropriate allocation of nondefault losses at central counterparties.
Estimating “hedge and auction” liquidation costs in central counterparties: a closeout risk approach
This paper shows how the closeout risk framework can be extended to realistically represent and simulate the potential outcomes of “hedge and auction” default management policies currently implemented by several major central counterparties.
Management of behavioral risk in the first line of defence
This paper discusses key features of fighting behavioral risk in the business line of operations as the central hub for all transactions in a bank.
Behavioral risks at the systemic level
By comparing the Libor and FX benchmark manipulation scandals, this paper describes how misbehavior emerged independently in both of these markets and the conditions that permitted the misconduct to survive and thrive.
An uncertainty quantification framework for the achievability of backtesting results of trading strategies
In this paper, the authors propose a framework for implementing and backtesting trading strategies.
A forward dynamic optimization strategy under contango storage arbitrage with frictions
The goal of this paper is to explain and improve the offshore oil storage trade observed in a contango market using a forward dynamic optimization strategy. The strategy is developed using trades in forward contracts and contrasted with the literature.
A three-factor model on the natural gas forward curve including temperature forecasts
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.