Technical paper/Risk factors
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures
The authors examine 10-K and 10-Q filings for risk factor disclosures and investigate if these disclosures can be used to improve estimations of the covariance matrix of stock returns.
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
Modeling dependent risk factors with CreditRisk+
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
Impact of D-vine structure on risk estimation
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
Exploration risk in international oil and gas shareholder returns
This paper focuses upon the oil and gas industry, examining the association between exploration activity risk and company shareholder returns.
Statistical risk models
In this paper, the authors give complete algorithms and source code for constructing statistical risk models.
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
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.
Multifactor risk models and heterotic CAPM
The authors of this paper give a complete algorithm and source code for constructing general multifactor risk models via any combination of style factors, principal components and/or industry factors.
Reconciling factor optimization with portfolio constraints
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
