Technical paper
Disaster insurance swaps
This paper proposes a novel contract, called disaster insurance swaps, to help insurance and reinsurance firms hedge extreme-weather-related liabilities.
The Covid-19 pandemic and the portfolio diversification effect of catastrophe bonds
The authors delve into catastrophe bonds within an international multiasset portfolio for periods before and during the Covid-19 pandemic, showing how at different times they act as a diversifier and a safe haven.
A flexible commodity skew model with maturity effects
The authors propose an extension to the Andersen commodity curve and calibrate the model to market data for West Texas Intermediate crude oil and for natural gas.
Supervised similarity for high-yield bonds
Quantum cognition ML is used to identify tradable alternatives for high-yield corporate bonds
How magic a bullet is machine learning for credit analysis? An exploration with fintech lending data
The authors apply machine learning techniques to consumer fintech loan data to assess how such techniques can improve out-of-sample default prediction.
Researching new financial products: using survey evidence to gain insight into buy now, pay later
The authors investigate early adopters of "buy now, pay later" payments and how the use of this service may effect a person's credit.
Did fintech loans default more during the Covid-19 pandemic? Were fintech firms “cream-skimming” the best borrowers?
The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech loans.
Investment decisions driven by fine-tuned large language models and uniform manifold approximation and projection-supported clustering and hierarchical density-based spatial clustering
The author proposes an investment strategy using LLMs and text from social media posts and business and economic news and demonstrate that the strategy outperforms the chosen benchmark.
Gaussian GenAI: synthetic market data generation
A method to generate financial time series with mixture models is presented
Deciphering bankruptcy risk in fintech firms: exploring key factors and implications
The authors delve into bankruptcy risk of Indian fintech firms, identifying the factors that most impact bankruptcy risk.
Skin in the game: risk analysis of central counterparties
This paper proposes a novel framework to design the capital contribution of a central counterparty (CCP) to its default waterfall - CCP "skin in the game".
Timing minimum-variance investment in the Canadian stock market
This paper proposes a novel explanation of the variation in idiosyncratic volatility anomaly return and its use in minimum-variance investing in the Canadian stock market.
Digital money and finance: a critical review of terminology
The authors put forward an etymology of key concepts and review key terminology and definitions within the sphere of decentralized finance to facilitate discussions about their merits and use cases/
Till def(ault) do us part: reassessing counterparty risk between global systemically important banks and central counterparties
The authors investigate how far liquidity at G-SIBs may be available to CCPs prior to a G-SIB resolution beginning and before a forced closeout is necessary, allowing the G-SIB to continue trading with a CCP until a payment default occurs.
Examining intersector risk synchronization in the Indian stock market: evidence from a time-varying connectedness approach
The authors investigate volatility spillover across the Covid-19 pandemic, Russia-Ukraine conflict and the collapse of Silicon Valley Bank and demonstrate how different sectors act as shock absorbers and transmitters.
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Survival analysis in credit risk management: a review study
This paper offers a systematic literature review of survival analysis in credit risk assessment and suggests potential future avenues for research.
Uncertainty in the macroeconomic environment, corporate tax avoidance and corporate credit financing: evidence from high-tech listed companies in China
Using data from Chinese high-tech enterprises, the authors investigate links between corporate tax avoidance and bank credit financing.
Default risk in the era of environmental, social and governance ratings: a comparative analysis of divergence
The authors investigate links between ESG ratings divergence and default risk, finding firms demonstrating better ESG performance show lower default risk.
The future of risk and insurability in the era of systemic disruption, unpredictability and artificial intelligence
The authors demonstrate the fragile nature of traditional risk management techniques in the face of frequent high-impact shocks and advocate for a new approach that treats disruption as systemic rather than episodic.
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
Enhancing organizational sustainability through human resource analytics: examining the moderating effect of organizational culture
Focussing on information-technology-based organizations, the authors investigate links between human resources analytics and organizational sustainability, finding HR analytics to enhance organizational sustainability.
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
Operational risk, capital regulation and model risk
The author proposes seven basic properties for operational risk modelling to form an operational risk management framework.