Technical paper
Do earnings events reset the trading clock?
This paper uses a large number of earnings events from which the subset of outcomes for which the price strongly increased or declined into the earnings date.
A comprehensive explainable approach for imbalanced financial distress prediction
The authors suggest an explainable machine learning method for imbalanced financial distress prediction which uses extreme gradient boosting.
Metaverse momentum: analyzing financial system risks in an expanding virtual landscape
The authors respond to a lack of regulation in the metaverse, evaluate its vulnerabilities and draw attention to potential future issues that could require supervisory attention.
Perceived workplace accident frequency and its impact on employee withholding behaviors and perceived productivity
The authors analyze relationships between perceived workplace accident frequency, employee withholding and perceived productivity as well as the mitigating effects of perceived risk and active communication of safety measures.
Risk prevention and regulatory challenges in metaverse trading
This paper focuses on the regulatory model of the metaverse, discussing the regulation of assets found within the metaverse, issues surrounding censorship and possible legal responsibilities that could arise.
Mapping the influence of enterprise risk management: a systematic review and bibliometric analysis
The authors conduct a bibliometric analysis and systematic review to investigate the influence of enterprise risk management research.
Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure
Basing their approach in object-drive smoothing, the authors calculate value-at-risk and expected shortfall via an application of semi-GARCH models.
Deep learning alpha signals from limit order books
An analysis on network architectures applied to limit order book data is presented
Return to the barrier: option pricing and calibration in foreign exchange markets
The authors investigate return barrier options and how failing to capture the market’s implied volatility surface can lead to mispricing of these options.
Systemic importance identification and risk supervision of banks: evidence from China
Investigating systemic risk, the authors build an interbank network based on tail dependence and suggest typical network centrality measures can suffer from redundancy issues.
Failure mode and effects analysis–analytic hierarchy process (FMEA-AHP) model in supplier risk management
The authors put forward an FMEA-AHP method to identify and manage supplier risks in a mining firm that is also applicable to other sectors and companies.
A multiplier approach for nonparametric estimation of the extreme quantiles of compound frequency distributions
The authors propose a nonparametric method for estimating extreme quantiles of operational risk reserves by utilizing a lower quantile of the severity distribution.
A dynamic method-of-moments copula model approach for market risk estimates
The authors propose a method-of-moments copula technique for estimating asset portfolios' market risk, demonstrating a significant reduction in copula estimation time.
Risk parity strategies with risk factors
The authors consider risk parity in portfolio trading and compare the performance of RP portfolios against traditional value- and equal-weighted portfolios, finding RP strategies to outperform the others in most cases.
Optimising broker evaluation through intraday modelling of execution cost
A method to assess brokers’ performance via their market impact is presented
Machine learning and a Hamilton–Jacobi–Bellman equation for optimal decumulation: a comparison study
This paper ascertains a decumulation strategy for the holder of a defined contribution pension plan with an approach based on neural network optimization.
Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads
The authors employ portfolio replication and dynamic hedging techniques to derive models for pricing financial derivatives in multicurrency markets and in the presence of counterparty credit risk.
On deep portfolio optimization with stocks, bonds and options
The authors put forward a neural-network machine learning algorithm for time-inconsistent portfolio optimization.
Do bank complexities increase the risks? Insights from four Asian countries
Focussing on China, Malaysia, Pakistan and Qatar, the authors investigate how bank complexity impacts bank risk.
Agent-based modeling for decentralized autonomous organizations and decentralized finance
The authors propose agent-based modeling for the study of decentralized finance and decentralized autonomous organizations.
Beneath the crypto currents: the hidden effect of crypto “whales”
This paper investigates how different holders of Ether respond to volatility and price movements and shows how challenges and vulnerabilities of traditional finance can be found in the Ether ecosystem.
The role of banks’ digital transformation in operational risk management: evidence from China
The authors investigate the impact of banks' digital transformation on operational risk, finding that in most cases, this reduces operational risk,
Risk measures associated with insurance losses in Ghana
The authors investigate VaR and TVaR comprehensive motor insurance claims paid by an insurance company in Ghana and compare the estimates obtained by these risk measures.
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented