Original research
Pricing kernel monotonicity and the conservativeness of risk-neutral forecasts
This paper analyses the relationship between option-implied, risk-neutral forecasts and their real-world counterparts through the lens of stochastic dominance and pricing kernel monotonicity.
A generic nonparametric value-at-risk estimator for high dimensions
This paper presents a fast, nonparametric algorithm for VaR and CVaR estimation that remains accurate for an arbitrarily large number of underlying positions.
Quantification of margin of conservatism category C: correlations and quantification levels
The author suggests means for margin of conservatism type C quantification of overlapping one-year default rates and approximate the confidence level for MoC C quantification at grade level.
Bayesian clustering for portfolio credit risk
The authors put forward a Bayesian clustering model for constructing homogeneous risk buckets directly from loan credit histories which assigns weighted memberships across multiple clusters.
AI agents for cash management in payment systems
The authors asses to what extent generative artificial intelligence models can assist with high-level intraday liquidity-management tasks in wholesale payment systems.
Eclipsing the pyramid: stablecoins and settlement
This paper proposes the concept of the "settlement eclipse" which occurs when the settlement function of a layer of the monetary pyramid is occulted by the layer beneath it.
The role of dynamic measurement and early warning in China’s stock-market resilience: evidence from 28 industry sectors
The authors measure China's stock market resilience across two dimensions: absorption intensity and duration.
Bank loan credit risk pooling: risk diversification versus the moral hazard problem
This paper offers a credit risk pooling arrangement which negates the moral hazard problem and improves the risk-return profiles of participating banks.
Predicting Chinese carbon prices and influence factors: evidence from quantile shrinkage methods
This paper aims to forecast Chinese carbon prices by employing a range of predictors and analyzing their impact across various carbon market conditions and black swan events.
Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war
Focussing on energy stocks and cryptocurrencies prior to and during the Russo-Ukrainian conflict, this paper examines the impact of geopolitical conflict on the informational efficiency of financial markets
The variance-Hawkes process and its application to energy markets
The authors put forward a new model using as a Hawkes process as a subordinator in a standard Brownian motion which is applies to TWI crude oil and NYMEX natural gas futures.
The impact of environmental, social and governance scores on corporate risk: evidence from Chinese listed companies
The authors investigate how changes in ESG performance can impact firms' marker-based risk exposures.
Operational risk measurement: integrating the amplification effects of reputational risk
This paper puts forward a means to measure operational risk losses which integrates reputational and operational risks.
Managing the risks of generative AI: a framework for enterprise risk management
The authors put forward a conceptual framework to mitigate risks associated with generative-AI in enterprise risk management.
The role of business and IT alignment in cyber security risk management
The authors investigate how business and information technology alignment can improve cyber risk management.
The key role of accounting intelligence and risk management in the practical economy: a new insight into company profitability
The authors examine impact enterprise risk management on financial and nonfinancial performance suing data from the Malaysian financial industry.
Investigating the relationship between liquidity creation and credit risk, with the moderating role of loan concentration: Islamic versus conventional banks in Pakistan and Malaysia
The authors investigate links between liquidity creation and credit risk in Islamic banks and conventional banks, with loan concentration as a moderating effect.
All models are wrong. Some might be OK!
The authors investigate three key sources of model uncertainty and potential difficulties in addressing them.
Non-maturity deposit risk under interest rate stress: a behavioral modeling framework
The authors propose a behavioral framework with which to model non-maturity deposit risk under interest rate stress within an interest rate risk in the banking book (IRRBB) context.
The creation, credit risk and performance of fintech credit: peer-to-peer lending in Canada
The author analyzes the trade-off between credit risk and financial performance within the Canadian peer-to-peer lending market, examining how borrower characteristics and platform-assigned credit grades influence loan survival outcomes.
Forecasting Chinese crude oil futures’ volatility: a heterogeneous volatility spillover-conditional autoregressive range model
This paper offers a new model with which to model and forecast the volatility of Chinese crude oil futures.
Addressing class imbalance in probability-of-default modeling: a comparative study of SMOTE, ensemble learning and explainable artificial intelligence
The author puts forward s a governance-aligned framework for probability of default modeling under class imbalance, combining domain-informed feature engineering, resampling, ensemble learning and explainable artificial intelligence
Determinants of enterprise risk management implementation: evidence from multinational corporations across the three lines of defense
The authors identify and investigate factors influencing the implementation of enterprise risk management in multinational corporations.
A novel budget-based C+SVM model for credit risk prediction
The authors propose a modified support vector machine model based on load budget with which to predict credit risk.