Technical paper
Responsible use of artificial intelligence in financial market infrastructures
The author investigates current and prospective role of AI in FMIs and develops a principled framework for the responsible use of AI based on the principles of explainability, data stewardship, governance and ethics.
An econometric investigation on the stability of stablecoins: are these coins stable or is their stability just a flip of the coin?
The authors investigate the volatility dynamics of US-dollar-backed stablecoins, challenging the assumption of inherent stability using a multilevel econometric framework.
Instant payments as the new normal: how much more money do the banks need?
The authors assess how the transition towards instant payment schemes and systems affects banks' liquidity needs.
The merchant’s hand in the consumer’s choice of payment instruments: an agent-based model
The authors use real-world data to investigate interactions between consumers and merchants in the adoption and usage of various payment instruments.
Locked out by loyalty: entry deterrence through rebates in payment card markets
The author investigates how payment card networks provide rebates at a high level, such that competitors cannot profitably enter the market.
Valuing private equity analytically
A framework that includes liquidity and market completeness for PE valuation
A global governance framework for generative artificial intelligence in financial risk management: empirical insights on mitigating hallucination and opacity in the augmented intelligence era
The author proposes a six-pillar governance framework for generative-AI applications in financial risk management.
Model validation of a generative-artificial-intelligence-based avatar for customer support in banking
The authors put forward a validation method for a gen-AI-based avatar designed to deal with customer inquiries in the banking sector.
Stock trend forecasting with graph neural networks
The authors put forward a new method for short-term stock trend prediction based on graph neural networks.
Generative artificial intelligence in model risk management: emerging opportunities, supervisory challenges and validation frameworks
The author proposes a structured approach to validating generative AI models in line with the principles of current regulatory standards.
A dual backtesting framework for quantifying nested model error and unlocking capital efficiency
The author puts forward a framework for dual backtesting, in which single-blind backtesting assesses core models and double-blind backtesting evaluates the whole system.
An efficient algorithm to compute correlation Greeks
This paper proposes a new algorithm that allows us to compute pairwise-correlation sensitivities in a Monte Carlo framework by modifying only one trajectory at a time
Analyzing the asymmetric effect of renewable energy on economic growth in a transitional economy
Covering the period 1971 - 2023, the authors analyze the influence mechanism and asymmetric effect of renewable energy consumption and other variables on economic growth in Tunisia.
Managing geopolitical risk in petroleum markets
The authors demonstrate the use of futures and options derivatives to manage risk during extreme conditions in petroleum markets through an analysis of historical shocks to such markets.
A new approach to asset pricing models: the term structure of leverage and refinancing risk
The authors provide new insights into leverage-related risk factors in stock returns and draw attention to the significance of debt maturities and refinancing in understanding leverage effects in asset pricing.
Validating bank risk models under trade war stress: a framework for adaptive stress testing with AI-driven calibration and cross-industry applications
Focusing on validating and enhancing risk models, the author proposes a comprehensive framework through which to stress test under trade war conditions.
Convex volatility interpolation
The modelling of implied volatility surfaces is reframed as an optimisation problem
On profitability and maximum tolerable latency in the high-frequency trading of a microtrend anomaly
The authors characterize the potential profitability and speed required for the exploitability of a stock trend-length anomaly via a high-frequency trading, microtrend-following strategy.
Rethinking remittances in the US–Mexico corridor: innovation, cost and policy implications
With a focus on the US-Mexico corridor, the authors investigate how online platforms and crypto-based technologies have reshaped the dynamics of cross-border payments.
Fast calculation of cheapest-to-deliver curves
This paper puts forward an analytical, faster and accurate approximation to compute cheapest-to-deliver discount curves for multi-currency collateral.
Strong order-one-half convergence of the projected Euler–Maruyama method for the Cox–Ingersoll–Ross model
The authors investigate the projected Euler–Maruyama method for solving the Cox–Ingersoll–Ross model.