Technical paper
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.
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
The authors propose a method for credit valuation adjustment evaluation that avoids the need for simulation while maintaining efficiency and accuracy.
Shapley values as an interpretability technique in credit scoring
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 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.
Extremiles, quantiles and expectiles in the tails
The author investigates quantiles, expectiles and extremiles in tail estimators for linear regression.
Assessing the potential for asset diversification: an analysis of Brazilian stock indexes, Bitcoin, gold, crude oil and exchange rates
The authors investigate the Islamic and conventional stock indexes for Bitcoin, crude oil and gold in Brazil.
Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique
The authors put forward a model for default prediction designed to minimise the impact of imbalanced classification, verifying its effectiveness with real world data from Chinese listed companies.
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
The authors consider conditional and unconditional intraday value-at-risk models for high-frequency exchange-traded funds, providing results useful to practitioners of high-frequency trading.
Assessing the potential profitability of automated power market trading using event signals sourced from grid frequency data
The authors put forward a profitable trading strategy based on power grid events, demonstrating that minimized reaction times can increase profits.
Credit contagion risk in German auto loans
The authors employ a data set of over 5 million German auto loans to investigate credit contagion risk and show that defaults cannot be attributed to single factors.
Tail sensitivity of stocks to carbon risk: a sectoral analysis
The authors investigate the tail sensitivity of US industry returns in relation to changes of carbon-driven climate risk, finding that tail sensitivities rise with the greenhouse has emissions of an industry.
Neural variance reduction for stochastic differential equations
This paper proposes the use of neural stochastic differential equations as a means to learn approximately optimal control variates, reducing variance as trajectories of the SDEs are simulated.
Mean–variance insurance design under heterogeneous beliefs
The authors investigate a problem of optimal insurance in which the insured and the insure hold heterogenous beliefs concerning loss distribution and demonstrate their results with analytical and numerical examples.
Nonbanking financial institutions and sustainability issues: empirical evidence on the impact of environmental, social and governance scores on market performance
The authors investigate relationships between environmental, social and governance scores and market-to-book ratios using data from North American and European nonbanking financial institutions.
The role of a green factor in stock prices: when Fama and French go green
The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
Optimal trend-following portfolios
This paper presents a unifying theoretical setting to introduce an autocorrelation model and derives an optimal portfolio based on a trend-following signal.
Peak-to-valley drawdowns: insights into extreme path-dependent market risk
The authors investigate risk in relation to peak-to-valley market drawdowns and aim to gain insights into the drawdown behaviour of asset classes across time intervals.
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Credible value-at-risk
This paper proposes a means to determine whether a a calculated VaR is "too large" and give a definition of this term within the context.
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay
The author proposes methods for how contractors may attempt to mitigate exchange rate risks in hybrid payment systems and validates these with empirical data from a hypothetical project.