Technical paper
Oil value-at-risk forecasts: a filtered semiparametric approach
This paper proposes the GARCH model combined with the Cornish–Fisher expansion for the oil VaR forecast.
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Automated market-making for fiat currencies
A framework to exchange fiat currencies on-chain consistently with off-chain prices is presented
Portfolio rebalancing and seasonality in Canadian financial markets
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
A factor-based risk model for multifactor investment strategies
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Large vector autoregressive exogenous factor (VARX) model with network regularization
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Modeling credit risk in the presence of central bank and government intervention
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
Market efficiency and volatility within and across cryptocurrency benchmark indexes
This paper examines the way that market efficiency and volatility clustering in the cryptocurrency markets can be inferred from benchmark index performance.
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
Technical indicator selection and trading signal forecasting: varying input window length and forecast horizon for the Pakistan Stock Exchange
This paper investigates how input window length and forecast horizon affect the predictive performance of a trading signal prediction system.
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Abnormal returns and stock price movements: some evidence from developed and emerging markets
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for developed and emerging markets from 2010 up until 2020.
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
Pricing barrier options with deep backward stochastic differential equation methods
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic differential equations.
The importance of window size: a study on the required window size for optimal-quality market risk models
In this paper the authors study different moving-window lengths for value-at-risk evaluation, and also address subjectivity in choosing the window size by testing change point detection algorithms.
Estimating value-at-risk using quantile regression and implied volatilities
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.
Predicting financial distress of Chinese listed companies using a novel hybrid model framework with an imbalanced-data perspective
In this paper a novel hybrid model framework is constructed to solve the problem of predicting the financial distress of Chinese listed companies using imbalanced data.
Is factor momentum greater than stock momentum?
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
In this paper the authors derive stability and convergence of fully discrete approximation schemes of solutions to linear parabolic evolution equations governed by time-dependent coercive operators.
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
Robust product Markovian quantization
In this paper the authors formulate the one-dimensional RMQ and d-dimensional PMQ algorithms as standard vector quantization problems by deriving the density, distribution and lower partial expectation functions of the random variables to be quantized at…
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust