Original research
How has the anti-corruption campaign affected operational efficiency? Evidence from a quasi-natural experiment in China
The authors analyze how China's anti-corruption campaign impacted operational efficiency, and offer suggestions for policymakers in emerging economies hoping to improve corporate performance through institutional reforms.
Payment card fraud: revealing the EMV impact in the United States and Europe
The authors investigate the adoption of EMV payment cards and how effective they are at managing credit card fraud in the United States and EU.
A liquidity black hole: what is the impact of a failing participant in a large-value payment system, and does time matter?
The authors out forward a technique with which to detect potential failing participants in large value payment systems as quickly as possible.
Deep self-consistent learning of local volatility
This paper offers an algorithm for calibrating local volatility from market option prices using deep self-consistent learning, by approximating both market option prices and local volatility using deep neural networks.
Quantum-readiness for the financial system: a road map
This paper provides a framework to support the financial system in the transition to quantum-safe cryptographic infrastructures, emphasising the need to start the transition today.
Finite-difference solution ansatz approach in least-squares Monte Carlo
This paper presents a novel technique, which is simple yet effective, to improve the accuracy and stability of the least-squares Monte Carlo method.
The crypto Wild West: a deep dive into the market volatility of junk coins versus Bitcoin
The authors assess the volatility of Bitcoin returns versus those of Dogecoin, Shiba Inu and Baby Doge Coin, finding that Bitcoin exhibits lower volatility and is the benchmark cryptoasset.
An aggregated metrics framework for multicriteria model validation using rolling origin evaluation
The authors apply the rolling origin evaluation framework to model validation in multicriteria settings, where performance must be assessed through various scenarios or forecast targets.
A robust distorted Orlicz premium: modeling, computational scheme and applications
This paper introduces the distorted Orlicz premium in an extension of Bellini et al's robust Orcliz premium and extend this to the Haezendonck–Goovaerts risk measure.
The implications of extraordinary speed in contemporary financial markets trading
This paper shows how high-frequency traders cancel many trading orders within 20 milliseconds of submission and proposes batch auctions to mitigate queuing risk for high-frequency traders.
Modeling coskewness with zero correlation and correlation with zero coskewness
The authors demonstrate that care should be taken when discussing potential links between correlation and coskewness, showing that any possible values of coskewness among symmetric random variables but zero pairwise correlations of these variables can be…
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Probabilistic classification with discriminative and generative models: credit-scoring application
The author investigates how probabilistic classification can be used to enhance credit-scoring accuracy, offering a robust means for assessing model performance under various reliability criteria
Quantifying renewables reliability risk in modern and future electricity grids
The authors suggest and demonstrate a means to quantify, allocate and account for the risk introduced to electricity production from the unpredictable intermittency of renewable energy sources.
Hierarchical allocation method for capital: a general method
The authors present a new technique to allocate a bank's risk capital across portfolios and transactions that can be applied to most risk capital types.
Incorporating economic outlook into exposure at default models
This paper outlines a new means to include macroeconomic variables in exposure at default models while satisfying all IFRS 9 expectations.
Including climate-induced jumps in forward price trends in wholesale energy markets
Using an Ornstein–Uhlenbeck stochastic process as their starting point, the authors suggest a forward contract pricing model which incorporates a climate risk factor.
The connectedness, structure and performance of different financial networks
The authors investigate network construction methods in accurately depicting spillover effects among financial institutions.
International evidence on the industrial affordability of deep decarbonization
The authors analyse industries of varying degrees of carbon intensity in IEA countries and investigate to what extent deep decarbonisation will be affordable.
Charting the landscape of short selling: an infometric study shaped by market sentiments
The authors aim to clarify the formulation of short-selling scenarios by providing a comprehensive bibliometric review of research in areas surrounding the topic.
National geopolitical risk perception and corporate innovation
The authors investigate how national geopolitical risk perception can impact corporate innovation behavior and its underlying mechanisms.
Addressing climate-related risks in banking: a framework for sustainable risk management and regulatory alignment
This paper puts forward a dual-layer approach to climate risk management with utilises root cause-based analysis and severity assessments to prioritize and address climate-related risks.
Public interest assessment in resolution of small and medium-sized banks in the European Union
This paper studies key determinants of public interest assessments in EU bank resolution with a focus on three factors: systemic risk, bank size and bank localness.