Technical paper
Quantifying renewables reliability risk in modern and future electricity grids
The authors suggest and demonstrate a means to quantify, allocate and account for the risk introduced to electricity production from the unpredictable intermittency of renewable energy sources.
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
Hierarchical allocation method for capital: a general method
The authors present a new technique to allocate a bank's risk capital across portfolios and transactions that can be applied to most risk capital types.
Incorporating economic outlook into exposure at default models
This paper outlines a new means to include macroeconomic variables in exposure at default models while satisfying all IFRS 9 expectations.
Including climate-induced jumps in forward price trends in wholesale energy markets
Using an Ornstein–Uhlenbeck stochastic process as their starting point, the authors suggest a forward contract pricing model which incorporates a climate risk factor.
The connectedness, structure and performance of different financial networks
The authors investigate network construction methods in accurately depicting spillover effects among financial institutions.
Key principles for operational risk stress testing design and evaluation
The author surveys operational stress testing methods and proposes a conceptual framework for designing operational risk stress tests.</li>
International evidence on the industrial affordability of deep decarbonization
The authors analyse industries of varying degrees of carbon intensity in IEA countries and investigate to what extent deep decarbonisation will be affordable.
Charting the landscape of short selling: an infometric study shaped by market sentiments
The authors aim to clarify the formulation of short-selling scenarios by providing a comprehensive bibliometric review of research in areas surrounding the topic.
National geopolitical risk perception and corporate innovation
The authors investigate how national geopolitical risk perception can impact corporate innovation behavior and its underlying mechanisms.
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
Addressing climate-related risks in banking: a framework for sustainable risk management and regulatory alignment
This paper puts forward a dual-layer approach to climate risk management with utilises root cause-based analysis and severity assessments to prioritize and address climate-related risks.
Public interest assessment in resolution of small and medium-sized banks in the European Union
This paper studies key determinants of public interest assessments in EU bank resolution with a focus on three factors: systemic risk, bank size and bank localness.
A minimum sample size definition for the purpose of loss provision extrapolation in the presence of default correlation
The author applies the Bernoulli distribution to an extrapolation of the capital provision that does not take into account the possible existence of a default correlation.
The effect of environmental, social and governance disclosure on corporate investment efficiency
Investigating the impact of environmental, social and governance (ESG) disclosure on investment efficiency, the authors' findings suggest that nonfinancial disclosure mandates can alleviate capital rationing issues for underinvesting firms.
Variance estimation for the quantification of the margin of conservatism category C
This paper discusses a new estimator for probability of default and compare its performance against two alternative approaches, demonstrating the novel method to have a lower bias and variance.
Multi-factor Gaussian model calibration: swaptions and constant maturity swap options
A novel closed-form method delivers a new way to calibrate interest rate models
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.