The authors put forward a means to estimate value-at-risk capital during extreme loss events which combines SNP estimation with EVT-POT theory.
A repo haircut model extends a previous solution for long-only strategies
The authors investigate the relationship of competition between Chinese banks and the stability of the banking system, finding that increasing competition leads to decreasing systemic risk.
A model-independent convexity adjustment for interest rate swaps is introduced
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
The authors carry out quantitative and qualitative analysis of anti-procyclicality tools and suggest policy measures intended to make APC tools more effective.
An arbitrage-free model for exotic options that captures smiles and futures is presented
The authors propose using a three-factor Merton model to allow more accurate quantification when investigating the credit risk of portfolios.
The authors identify triangular arbitrage trading opportunities through genetic algorithms in order to find insights into the volatility of cryptocurrencies and stablecoins with the largest market cap.
A method to align incentives with sustainability in financial markets is introduced
The authors investigate welfare effects of gas market area mergers and argue that merged market areas benefit from increased market power.
The authors investigate banks' market risk capital requirements under the internal models approach through the lens of the Basel Fundamental Review of the Trading Book, using data from the period 2007-19.
The author argues that assessments should be preferred over variation margin gains haircutting when CCP resilience is tested by cases of default loss being greater than prefunded financial resources.
The trade-off between shorter settlement times and multilateral netting benefits in deferred net settlement
This paper investigates settlement windows in multilateral netting in the US equity markets, finding that there is no material loss of multilateral netting benefits for windows over an hour.
On the contagion effect between crude oil and agricultural commodity markets: a dynamic conditional correlation and spectral analysis
The authors present an empirical study concerning the volatility comovements between crude oil and agricultural commodities relative to global economic shocks such as Covid-19 and the Russo-Ukrainian war.
Expected returns can be significantly affected by the wrong use of impact models
The authors propose a method for credit valuation adjustment evaluation that avoids the need for simulation while maintaining efficiency and accuracy.
The authors analyze the usefulness of the Shapley value as a machine learning interpretability technique in credit scoring.
Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
The authors put forward a a method for pricing European multi-asset options intended to address challenges related to the choice of damping parameters and the treatment of high dimensionality when designing methods for Fourier pricing options.
Online attention and directors’ and officers’ liability insurance: evidence from Chinese listed firms
The authors investigate how online attention impacts the purchases of D&O liability insurance.
The author investigates quantiles, expectiles and extremiles in tail estimators for linear regression.