A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Artificial neural networks can replace PCA for yield curves analysis
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Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets