In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.
This paper presents truncation probability estimates for loss severity data and a consistent quantile scoring function on annual loss data as useful severity distribution selection criteria that may stabilize regulatory capital.
In this paper, the authors analyse the convergence of tree methods for pricing barrier and lookback options.
This paper derives an alternative fast Fourier transform-based computational approach for calculating the target capital of the SST that is more than 600 times faster than a Monte Carlo simulation.
In this paper, the authors employ a hybrid approach to design a practical and effective CRE model based on a deep belief network (DBN) and the K-means method.
In this paper, the authors present a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.
In this paper, the authors use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.
The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
This paper presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited.
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.
In this paper, the authors introduce a novel, explicit, wide-stencil, two-dimensional (2D) tree–grid method for solving stochastic control problems (SCPs) with two space dimensions and one time dimension, or, equivalently, the corresponding Hamilton…
Based on a survey of twenty-nine major financial institutions, this paper aims to advise banks and other financial services firms on what is needed to get ready for and become compliant with BCBS 239, especially in the area of risk data validation.
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
This paper proposes a method to extract deposit lifetime data from individual account transactions.
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties
In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
The aim of this paper is twofold: (i) to introduce two recursive estimation algorithms suitable for the EWMA process that are applicable for routine volatility predictions, and (ii) to investigate their prediction ability by comparing them with other…
This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.
In this paper, the authors aim to provide an interpretation of the legal issue of settlement finality in the context of proof-of-work distributed ledger technology, such as the Bitcoin network.
In this paper, the authors investigate a credit rating problem based on the network of trading information (NoTI).
This paper investigates whether the substantial focus placed on the procyclicality of initial margin reflects both the original concerns at the time of the 2007-8 financial crisis and the intrinsic 'modus operandi' of CCPs.
This paper examines the relationship between the topology of interbank networks and their ability to propagate localized, idiosyncratic shocks across the banking sector via banks’ interbank claims on one another.
In this paper, the simulated environment of a hierarchical energy trading market using Ethereum’s smartcontract technology is created as a proof-of-concept of using blockchain technology in energy trading.