Estimating financial risks from the energy transition: potential impacts from decarbonization in the European power sector
The authors present an integrated assessment of energy transition risk that links future energy scenarios to a structural economic model.
The spillover effect of the Bangladesh Bank cyber heist on banks’ cyber risk disclosures in Bangladesh
This study examines the spillover effect of that cyber heist on the cyber risk disclosures of the banking sector in Bangladesh.
Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
This study proposes a credit rating model that accurately identifies default and nondefault companies by maximizing intergroup credit score deviations and minimizing intragroup deviations.
The author presents four methods to estimate the sample variance of the accuracy ratio and the area under the curve.
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…
The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
The authors investigate the financial structure of Jet Airways, with the aim of understanding whether financial turbulence for an airline company can constitute an antecedent for predicting the risk of bankruptcy.
In this paper, a new method for computing the standard errors (SEs) of returns-based risk and performance estimators for serially dependent returns is developed.
How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? A simulation approach for Canada’s large-value payment system
This paper investigates how much liquidity requirements can be reduced with the implementation of different LSMs in the Financial Network Analytics simulation engine using LVTS transaction data from 2018.
In this paper, we discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing through…
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
The effects of customer segmentation, borrower behaviors and analytical methods on the performance of credit scoring models in the agribusiness sector
The main aim of this study is to analyze the joint effects of customer segmentation, borrower characteristics and modeling techniques on the classification accuracy of a scoring model for agribusinesses.
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
This paper investigates factors associated with high credit card loss rates during the period 2008–11 associated with the Great Recession.
In this paper, we analyze the results of incentive regulation for Brazilian transmission companies regarding operational costs.
In this paper, the authors review the different methods designed to estimate matrixes from their marginals and potentially exogenous information.
This paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies.
This paper investigates the significance of oil, gold and coal returns on Bitcoin returns for a research duration of January 2011 to September 2018 on a monthly periodic basis.
This paper aims to fill a gap in the literature by providing statistical properties of the population stability index (PSI) and some recommendations on its use.
This paper sets out ten laws that govern the behavior of operational risk relating to the occurrence and detection/duration of events; the rapidity with which firms suffer losses; the lags in crystallization of losses; and internal and external drivers…
In this paper, we introduce two mixing fractions that can be controlled separately to apply impact to the volatility-of-volatility and the correlation in a lognormal LSV model.
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure. More precisely, they explain how to perform simulations of the real-world forward rates for different…
We find that the buy-and-hold (B&H) strategy for the S&P 500 index (^GSPC) for January 1950–April 2019 had a significantly higher return than that produced by time series momentum (TSM). However, TSM was superior in terms of the Sharpe ratio due to its…
This study examines the performance of two strangle strategies at different legs to find the best strategy for consistent profit generation when trading on the Indian stock market index Nifty.