Technical paper
Dynamic class-imbalanced financial distress prediction based on case-based reasoning integrated with time weighting and resampling
The authors put forward a dynamic class-imbalanced CBR FDP model which is shown, using data from Chinese listed companies, to outperform static and dynamic CBR FDP models without resampling or time weighting.
Calibration alternatives to logistic regression and their potential for transferring the statistical dispersion of discriminatory power into uncertainties in probabilities of default
This paper compares four calibration approaches to linear logistic regression in credit risk estimation and proposes two new single-parameter families of differentiable functions as candidates for this regression.
Estimating risks of European option books using neural stochastic differential equation market models
The authors investigate how arbitrage-free neural stochastic differential equation market models can produce realistic scenarios for the joint dynamics of multiple European options on a single underlying and demonstrate how they can be used as a risk…
Value-at-risk and the global financial crisis
The authors investigate the forecasting ability of bank VaR estimates around the 2007-9 financial crisis using daily data from seven international banks, finding systemic overstating of VaR either side of the financial crisis and mixed performance during…
Measuring tail operational risk in univariate and multivariate models with extreme losses
The authors consider operational risk models and derive limit behaviors for the value-at-risk and conditional tail expectation of aggregate operational risks in such models.
Audit committee characteristics and the audit report lag in Greece
The authors review empirical studies investigating the effect of audit committee characteristics on audit report lag, using Greece as an example. and finding that committee diligence is associated with a shorter report audit lag.
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
Measuring the systemic importance of Chinese banks: a comparison of different risk measurement models
This paper uses DebtRank, ΔCoVaR and MES to measure the systemic importance of banks, finding that DebtRank performs best from the perspectives of size and interconnectedness.
Does the asymmetric exponential power distribution improve systemic risk measurement?
The authors use a parametric estimation for CoVaR and compare the goodness-of-fit and backtesting of AEPD with other commonly used distributions using data from the Chinese banking sector from 2008-2019.
Operational risk: a global examination based on bibliometric analysis
The authors quantitively assess the quality of research on operational risk and find that research in this area has grown in popularity in recent years.
Robust pricing and hedging via neural stochastic differential equations
The authors propose a model called neural SDE and demonstrate how this model can make it possible to find robust bounds for the prices of derivatives and the corresponding hedging strategies.
Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation
The authors propose a comprehensive evaluation system to index internet financial risk, based on the identification of China's internet financial risk.
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Allocating and forecasting changes in risk
This paper considers time-dependent portfolios and discuss the allocation of changes in the risk of a portfolio to changes in the portfolio’s components.
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network
The authors use a LASSO-VAR method and generalized variance decomposition to measure the systemic risk contagion effect of Chinese-listed banks.
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans
The authors assess the impacts of financial and macroeconomic factors on financial stability in emerging economies, using Turkey's banking sector in the period 2005 Q1 to 2020 Q3 as their example.
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
The author uses the marginal expected shortfall method alongside the Beta-skew-t-exponential generalized autoregressive conditional heteroscedasticity-extreme value theory model and the CoVaR model to investigate risk spillover between the crude oil…
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
The authors offer a VIX pricing algorithm for stochastic Volterra rough volatility models where the volatility is dependent of the vol-of-vol which reproduces key features of real-world data.
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
Dynamic rebalancing of a risk parity investment portfolio
The authors examine the All-Weather portfolio in relation to other popular portfolios and investigate the impact of various static and dynamic portfolio-rebalancing strategies on the All-Weather portfolio.
Dynamic signal selection strategies
The authors use eight models of pairwise dependency to select predictors that offer a high level of dependency in stock returns.
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented