In this paper, the authors estimate and test several default risk models using new and unique data on corporate defaults in the German stock market.
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
Improving the Brazilian electricity market: how to replace the centralized dispatch by decentralized market-based bidding
This paper proposes replacing the Energy Reallocation Mechanism with a bid- based short-term market called the virtual reservoir model.
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
This paper investigates the intraday market activity of West Texas Intermediate (WTI) crude oil futures around the release of the US Energy Intelligence Agency (EIA) report, looking at how prices respond to inventory shocks.
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem.
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
The objective of this paper is to select effective risk indicators and thus establish a risk index system of P2P platforms so as to evaluate the risk performance of these platforms in China.
This paper investigates two new strategies for the numerical solution of optimal stopping problems in the regression Monte Carlo (RMC) framework.
This paper develops efficient importance sampling schemes for a class of jump–diffusion processes that are commonly used for modeling stock prices.
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
The functioning of a large-value payment system (LVPS) can be affected when some of its participants intentionally decide to delay their payments until they can fund them with payments received from other participants. This payment strategy, known as the…
This paper discusses the many differences between CCPs and banks as well as the significance of these differences.
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on…
In this paper, the authors present a way to address multivariate distortion risk measures and give some examples of distortion functions and distributions where the final expression has a closed form.
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
Does the impact of exchange-traded funds flows on commodities prices involve stockpiling as a signature? An empirical investigation
This paper examines the relation between the flows into the three main commodity index exchange-traded funds (ETFs) and the prices, inventory and term structure of four energy and twelve US-traded agricultural contracts.
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing…
In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution.
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.