Technical paper
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
Let’s speak the same language: a formally defined model to describe and compare payment system architectures
The authors propose a means with which to represent and compare three key functions of payment system architectures: issuance/withdrawal, holding and transfer of funds.
Toward immediacy and continuity in money and finance?
This paper investigates the relationship between developments in information and communication technology and changes in the time structure of money and finance.
Fintech adoption and economic growth: exploring the global landscape
The authors argue that increased fintech adoption has a causal relationship with a growth in GDP per capita using data from 112 countries.
How concentrated is the clearing ecosystem and how has it changed since 2007?
This paper uncovers changes to concentration of the clearing ecosystem and how it has changed since the 2007-9 financial crisis.
Model risk quantification for machine learning models in credit risk
This paper analyses bank-specific model risk measurement methods with a focus on implemented model risk rating solutions for MLMs and discusses challenges faced by the validation function.
Research on the dynamic early warning effect on the manufacturing industry from the perspective of systemic financial risks: evidence from the Chinese market
The authors explore how the China systemic financial risk composite index might contribute to the development of the Chinese manufacturing industry.
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
A three-stage fusion model for predicting financial distress considering semantic and sentiment information
The authors apply sentiment analysis to management discussion and analysis texts to aid the prediction of financial distress with an innovative three-phase fusion model.
Randomization of spectral risk measures and distributional robustness
The authors offer a means to describe a decision maker's risk preferences with a randomized spectral risk measure.
How confident are we of margin model procyclicality measurements?
This paper investigates procyclicality models, bringing attention to that fact that typical measures of model responsiveness are random variables and impacted by uncertainty.
Convexity adjustments à la Malliavin
This paper puts forward a novel means to approximate convexity adjustments in a general interest rate model using Malliavin calculcus.
An explicit scheme for pathwise cross valuation adjustment computations
The authors put forward a simulation/regression scheme for a class of anticipated backward stochastic differential equations, where the coefficient entails a conditional expected shortfall of the martingale part of the solution.