Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis
In this work, the authors employ the KM–ER algorithm to characterize the internal organization of eMID.
This paper quantifies the interrelations induced among financial institutions by common asset holdings.
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
This paper presents a new model for characterizing temporal dependence in exceedances above a given threshold.
This paper proposes temperature-based risk management using hybrid financial instruments built on weather derivatives.
This paper proposes an alternative framework for setting banks’ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism.
In this paper, the authors apply a dynamic extreme value theory (EVT) model based on a nonhomogeneous Poisson process incorporating covariates to estimate frequency, severity and risk measures for operational risk.
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores.
In this paper, the authors analyze why the optimal portfolio of funds that investors may take under complete information and the actual structure of the mutual fund market differ.
In this paper, the authors quantify the potential direct economic benefits to market participants and increased risks to CCPs of moving bilateral repo transactions between US dealers and their nondealer clients to CCPs.
Empirical assessments of the Reserve Bank of India’s policy measures on payment and settlement systems in India
This paper empirically evaluates the effects of policy measures used by the Reserve Bank of India (RBI) on interbank payment and settlement systems in that country.
This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.
In this paper, the authors derive an analytical solution for sub-SCR VTs starting with a model risk appetite (MRA) that defines acceptable errors for an insurer’s total SCR.
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
In this paper, the authors consider wind power utilization in thirty-one different locations in Germany.
This paper surveys the use of networks and network-based methods to study economy- related questions.
In this paper, the authors combine MS dynamic copulas with the skewed t SV model to study the optimal hedge ratios of portfolios.
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
This paper discusses and derives the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories in the Chinese market.
The aim of this paper is to assess the impact of defaulting on one personal credit modality on future defaults on other modalities. Using Brazilian microdata, the authors run a logistic regression to estimate the probability of default on a given credit…
The author presents a comparison between maximal and daily average production of photovoltaic and wind energy based on a transmission system operator in Germany using statistical analysis with different seasonality functions.
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
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.