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.
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality.
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.
Community energy retail tariffs in Singapore: opportunities for peer-to-peer and time-of-use versus vertically integrated tariffs
In this paper, an electricity market is simulated using an iterative double-auction algorithm that resolves a social welfare optimization problem based on the Kelly auction mechanism. It is adapted to the case of Singapore.
In this paper, the authors develop a computational method to find a unique, corrected Cornish–Fisher distribution efficiently for a wide range of skewnesses and kurtoses.
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Application scoring plays a critical role in determining the future quality of a lender’s book. It is therefore important to monitor the performance of an application scorecard to ensure it performs as expected.
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
This paper seeks to shed light on one critical area of such frameworks: model risk tiering, or the rating of risk inherent in the use of individual models, which can benefit a firm’s resource allocation and overall risk management capabilities.
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
A generic stress testing framework with related economic shocks and possible regulatory intervention
In this paper, the authors develop and demonstrate a universal framework for supervisory stress tests of financial institutions that considers the probable dependencies among macroeconomic shocks and possible regulatory intervention.
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
In this paper, the authors propose a novel investment strategy for portfolio optimization problems.
This paper discusses the framework within which to study how sample dependence is transferred from the data to the premiums via the density.
The latest online early paper in our special issue on blockchain enabled energy markets
In this paper, the authors construct a Heath-Platen-type Monte Carlo estimator that performs extraordinarily well compared with the crude Monte Carlo estimation.
The objective of this paper is to analyze cyber risk from an operational risk perspective and to measure cyber risk empirically.