Technical paper
Equal risk allocation with carry, value and momentum
The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.
A map of collateral uses and flows
This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries and examples of risks and vulnerabilities in collateral flows.
Consensus information and consensus rating: a simulation study on rating aggregation
This paper explores the aggregation of different single ratings to a ‘consensus rating’ to get a higher precision of a debtor’s default probability. It builds upon the methodology published by Grün et al, 2013 and Lehmann and Tillich, 2016.
The benefit of using random matrix theory to fit high-dimensional t-copulas
This paper uses simulation studies and an example of operational risk modeling to show the necessity and benefit of using RMT to fit high-dimensional t-copulas in risk modeling.
‘Hot-start’ initialisation of the Heston model
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Gap risk KVA and repo pricing
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
Benchmarking the loss given default parameter for mortgage loan portfolios under stress
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Commodity volatility, skew and inverse leverage effect
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
Adjusting VAR to correct sample volatility bias
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
The Nordic futures market for power: finally mature and efficient?
The authors of this paper study the forecasting performance of Nordic power futures in order to see whether the futures bias reported in a number of previous studies still prevails and, if so, whether this means that the market is inefficient.
Compositional methods applied to capital allocation problems
In this paper, the authors examine the relationship between capital allocation problems and compositional data, and show that capital allocation principles can be interpreted as compositions.
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
Financial and nonfinancial variables as long-horizon predictors of bankruptcy
This paper assesses the predictive ability of financial and nonfinancial variables for a long horizon in a large cross-sectional sample of Finnish firms
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
Acceptability bounds for forward starting options using disciplined convex programming
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
On modeling zero-inflated insurance data
The authors of this paper use power series distributions to develop a novel and flexible zero-inflated Bayesian methodology.
Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital.
An efficient convergent lattice method for Asian option pricing with superlinear complexity
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
NetMES: a network based marginal expected shortfall measure
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
A multilayer model of order book dynamics
This paper presents a two-layer order book model.
Directors’ networks and firm valuation in a concentrated ownership structure economy
The authors explore the implications of directors' networks for company valuation in a concentrated ownership environment and in pyramidal control structures.
A fuzzy data envelopment analysis model for evaluating the efficiency of socially responsible and conventional mutual funds
The authors of this paper use data envelopment analysis (DEA) to assess the relative efficiency of a sample of US equity mutual funds.
Optimal asset management for defined-contribution pension funds with default risk
This paper explores how a defined-contribution pension fund optimally distributes wealth between a defaultable bond, a stock and a bank account, given that a salary is a stochastic process.
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.