Technical paper
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency
When we adopt the parameters in the BCBS standards to calculate the delta risk charge, anomalies in the risk charges for the same risk exposure are found under different approaches and under different reporting currencies. The anomalies increase when the…
Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts
This paper formulates a mathematical model for generating receiver operating characteristic (ROC) curves without underlying data.
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Forecasting Bitcoin returns: is there a role for the US–China trade war?
In this paper, the authors extend the related literature by examining whether the information on the US–China trade war can be used to forecast the future path of Bitcoin returns, controlling for various explanatory variables.
A verification model to capture option risk and hedging based on a modified underlying beta
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.
The impact of energy costs on industrial performance: identifying price and quantity effects in the aluminum industry using a data envelopment analysis approach
The authors build a frontier function model with technical and cost efficiency measures to assess the impact of energy costs on competitiveness in the aluminum industry, a heavy energy consumer, by identifying what may be attributed to price and quantity…
A hybrid model for credit risk assessment: empirical validation by real-world credit data
This paper examines which hybridization strategy is more suitable for credit risk assessment in the dynamic financial world.
Realized profits on the Stationary Offshore Ocean Economy: an analysis
This paper analyzes the recent financial performance of the publicly traded companies that employ stationary structures on the open ocean using a comprehensive Thomson Reuters Eikon search.
Critical variables in the implementation of a risk-based internal audit: a theoretical and empirical investigation of Greek companies
This paper investigates the critical variables for the implementation of RBIA in Greek companies and examines the relationship between the above variables and RBIA implementation using data collected by 105 internal auditors, external auditors, directors…
Bias-corrected estimators for the Vasicek model: an application in risk measure estimation
The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
A framework to analyze the financial effects of climate change
Starting with an expert assessment of the climate risk factors over a specified horizon, then moving to a description of the expected number of climate events and the severity of the losses if an event occurs, the authors describe a framework to analyze…
Blockchain consensus protocols, energy consumption and cryptocurrency prices
The authors employ portfolio analysis to explore whether energy is a fundamental economic factor affecting cryptocurrency prices.
Hedging valuation adjustment: fact and friction
Transaction costs’ impact on hedging can now be quantified
Estimating financial risks from the energy transition: potential impacts from decarbonization in the European power sector
The authors present an integrated assessment of energy transition risk that links future energy scenarios to a structural economic model.
The spillover effect of the Bangladesh Bank cyber heist on banks’ cyber risk disclosures in Bangladesh
This study examines the spillover effect of that cyber heist on the cyber risk disclosures of the banking sector in Bangladesh.
Detection of financial fraud risk: implications for financial stability
This introduction to the Journal of Operational Risk special issue shines a light on the relationship between financial fraud risks and financial stability.
Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
This study proposes a credit rating model that accurately identifies default and nondefault companies by maximizing intergroup credit score deviations and minimizing intragroup deviations.
How accurate is the accuracy ratio in credit risk model validation?
The author presents four methods to estimate the sample variance of the accuracy ratio and the area under the curve.
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
Body and tail: an automated tail-detecting procedure
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…
Universalities in the dynamics of cryptocurrencies: stability, scaling and size
The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
The strange case of the Jet Airways bankruptcy: a financial structure analysis
The authors investigate the financial structure of Jet Airways, with the aim of understanding whether financial turbulence for an airline company can constitute an antecedent for predicting the risk of bankruptcy.
Standard errors of risk and performance estimators for serially dependent returns
In this paper, a new method for computing the standard errors (SEs) of returns-based risk and performance estimators for serially dependent returns is developed.
Deep asymptotics
Introducing a new technique to control the behaviour of neural networks