Technical paper
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.
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.
Quantitative fund homogenization and systemic risk in the stock market
The authors develop a homogenization measurement method from the perspectives of return rates and Sharpe ratios based on data from 421 active quantitative funds in China from January 2015 to March 2024.
From expansion to recession: unraveling the performance of Chinese hedge funds through economic shifts
The authors investigate hedge fund performance in China with a Markov regime-switching model, showing differences between between economic expansion and recession phases.
Exceedance-based backtesting of expected shortfall
The authors apply exceedance-based validation techniques often used for VaR model validation the the validation of ES models, showing such an application to be feasible.
Analyzing cryptocurrency risk with a stochastic volatility normal tempered stable process via hybrid optimization
The authors apply a subordinated Lévy process for the purpose of measuring and managing financial risks in cryptocurrency markets.
Demand deposit balance prediction models under the interest rate risk in the banking book guidelines: an empirical analysis integrating time-series models and machine learning predictions in Mexican banks
The authors analyze the interest rate risk in the banking book regulations, arguing that financial institutions must develop robust models for forecasting demand deposit balances while adhering to regulatory guidelines.
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
The digital sentinel: artificial intelligence and the mitigation of corporate litigation risk
The authors investigates relationships between strategic AI adoption and corporate litigation risk, finding that increased strategic adoption leads to a net reduction in this form of risk.
Artificial intelligence in password-less authentication: bridging the gap between security and transparency
This paper investigates the role played by artificial intelligence in the adoption of password-less authentication in India, providing insights for policy makers, information technology developers and digital service providers.
Bridging credit transitions and spread dynamics
A fast-to-calibrate model to simulate a credit rating transition matrix is presented
Central bank digital currency and other digital payments in sub-Saharan Africa: a regional survey
The authors highlight the motivations, benefits and challenges of central bank digital currency adoption in sub-Saharan Africa.
When betas meet the cross section: a hybrid risk model for equity portfolios
The authors propose an application of Kelly et al's 2018 model combining regression-based betas with cross-sectional and time series elements, enhancing precision, reducing data needs, and simplifying multiregional models while effectively optimizing…
Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing
With a focus on price–storage dynamics in natural gas markets, the authors propose a stochastic path-dependent volatility model with path dependence in both price volatility and storage increments
Is climate policy uncertainty positively or negatively priced in the stock market, and why?
The authors asses Chinese climate policy uncertainty a systematic risk factor within the intertemporal capital asset pricing model framework, showing CCPU to carry a negative risk premium.
Credit risk meets insurance risk: a unified framework
Extending the influential CreditRisk+ model for portfolio credit risk modeling, the authors propose adding a continuous-time extension to the model.
Current Expected Credit Losses implementation and model risk in uncertain times: an application to consumer finance
This paper discusses challenges in economic forecasting and model misspecification errors faced by financial institutions implementing the CECL allowance methodology and its impact on model risk and bias in CECL projections.
Improving data for managing cyber risk and building resilience
The authors investigate current and proposed cyber risk reporting requirement and describe the data gaps that remain before discussing how a better and harmonized cyber incident data collection rule could improve cybersecurity.
Operational risk patterns in New Zealand banking: a clinical case study
The authors analyze more than 5000 operational risk incidents from a major New Zealand bank to document risk patterns within a concentrated, dual-regulated banking environment, showing human factors to have accounted for over half of the recorded…
Are stablecoins fungible money?
The authors assess the fungibility of stablecoins, arguing that this can be equivalent to that of traditional bank deposits if payment and settlement technologies are interoperable.