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- 5861701 Equity market impact modeling: an empirical analysis for the Chinese market
by Shiyu Han & Lan Wu & Yuan Cheng - 5864106 A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
by Hany M. Farag - 5864151 Optimal hedge ratios based on Markov-switching dynamic copula models
by Jinzhi Li - 5943711 A general framework for constructing bank risk data sets
by Xiaoqian Zhu & Lu Wei & Dengsheng Wu & Jianping Li - 5943741 Covering the world: global evidence on covered calls
by Roni Israelov & Matthew Klein & Harsha Tummala - 6043096 A three-state early warning system for the European Union
by Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager & Etti Baranoff - 6043131 Balance-sheet interest rate risk: a weighted Lp approach
by Leslaw Gajek & Elzbieta Krajewska - 6076291 Measuring latent risk preferences: minimizing measurement biases
by Gosse Alserda - 6202391 Asymmetry herding behavior of real estate investment trusts: evidence from information demand
by Wen-Yuan Lin & Ming-Hung Wu & Ming-Chi Chen - 6202621 Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
by Daniel Henrique Salgado & Osvaldo Candido - 6310451 Second-order risk of alternative risk parity strategies
by Simone Bernardi & Markus Leippold & Harald Lohre - 6310481 The implications of value-at-risk and short-selling restrictions for portfolio manager performance
by Fulbert Tchana Tchana & Georges Tsafack - 6310491 Range-based volatility forecasting: an extended conditional autoregressive range model
by Haibin Xie & Xinyu Wu - 6512636 The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
by Alessandro Pogliani & Federico Paganini & Marilena Rata - 6569671 Could holding multiple safe havens improve diversification in a portfolio? The extended skew-t vine copula approach
by Meng-Shiuh Chang & Jing Yuan & Jing Xu - 6569711 Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression
by Yuta Tanoue & Satoshi Yamashita - 6685861 A generic stress testing framework with related economic shocks and possible regulatory intervention
by Dror Parnes & Michael Jacobs Jr. - 6710771 From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
by G. Arici & M. Dalai & R. Leonardi - 6747061 Counterparty risk: credit valuation adjustment variability and value-at-risk
by Michèle Breton & Oussama Marzouk - 6747096 Making Cornish–Fisher fit for risk measurement
by John D. Lamb & Maura E. Monville & Kai-Hong Tee - 6826461 Rating migrations of US financial institutions: are different outcomes equivalent?
by Huong Dieu Dang - 6855311 Recursive estimation of the exponentially weighted moving average model
by Radek Hendrych & Tomáš Cipra - 6855676 Estimating maturity profiles of nonmaturing deposits
by Fidelis Musakwa & Eric Schaling - 6886341 Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
by Marius Pfeuffer & Maximilian Nagl & Matthias Fischer & Daniel Rösch - 6922256 The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
by Matteo Formenti & Luca Spadafora & Marcello Terraneo & Fabio Ramponi - 6922266 Nonparametric versus parametric expected shortfall
by R. Douglas Martin & Shengyu Zhang - 7061661 Static and dynamic risk capital allocations with the Euler rule
by Tim J. Boonen - 7061846 Measuring the systemic risk of China’s banking sector: an application of differential DebtRank
by Wenjie Yin & Faqi Jin & Meiyu Tian & Fenghua Wen - 7123681 The impact of the cross-shareholding network on extreme price movements: evidence from China
by Jie Cao & Fenghua Wen - 7123711 Currency risk in foreign currency accounts for small and medium-sized businesses
by Lorenzo Reus - 7127211 Backtesting expected shortfall: a simple recipe?
by Felix Moldenhauer & Marcin Pitera - 7127251 Crash risk exposure, diversification and cost of equity capital: evidence from a natural experiment in China
by Quanxi Liang & Wei Mao - 7370751 Empirical analysis of oil risk-minimizing portfolios: the DCC–GARCH–MODWT approach
by Dejan Zivkov & Jovan Njegic & Vladimir Zakic - 7370836 Near-real-time monitoring in real-time gross settlement systems: a traffic light approach
by Ron Berndsen & Ronald Heijmans - 7421841 Hedging incentives for financial institutions
by Frans de Weert - 7421876 An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
by Andrea Bertagna & Dragos Deliu & Luca Lopez & Aldo Nassigh & Michele Pioppi & Fabian Reffel & Peter Schaller & Robert Schulze - 7534871 The impact of shareholders’ limited liability on risk- and value-based management
by Christian Eckert & Johanna Eckert - 7535001 A regime-switching factor model for mean–variance optimization
by Giorgio Costa & Roy H. Kwon - 7535016 A new dynamic hedging model with futures: the Kalman filter error-correction model
by Chien-Ho Wang & Chang-Ching Lin & Shu-Hui Lin & Hung-Yu Lai - 7536071 Procyclicality mitigation for initial margin models with asymmetric volatility
by Elena Goldman & Xiangjin Shen - 7554106 Range-based volatility forecasting: a multiplicative component conditional autoregressive range model
by Haibin Xie - 7554111 Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
by Zhongfang He - 7554126 Volatility spillover along the supply chains: a network analysis on economic links
by Theo Berger & Ramazan Gençay - 7659561 Economic policy uncertainty, investors’ attention and US real estate investment trusts’ herding behaviors
by Wei-Ling Huang & I-Chun Tsai & Wen-Yuan Lin - 7672691 Fund size and the stability of portfolio risk
by Martin Ewen & Marc Oliver Rieger - 7674176 The impact of corporate social and environmental performance on credit rating prediction: North America versus Europe
by Gregor Dorfleitner & Johannes Grebler & Sebastian Utz - 7721031 Monetary policy uncertainty and jumps in advanced equity markets
by Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Clement Kyei - 7721041 Modeling loss given default regressions
by Phillip Li & Xiaofei Zhang & Xinlei Zhao - 7721046 Optimal reinsurance with expectile under the Vajda condition
by Yanhong Chen - 7721056 Bank leverage and capital bias adjustment through the macroeconomic cycle
by Andy Jia-Yuh Yeh - 7729106 Standard errors of risk and performance estimators for serially dependent returns
by Xin Chen & R. Douglas Martin - 7733836 Body and tail: an automated tail-detecting procedure
by Ingo Hoffmann & Christoph Börner - 7741216 A framework to analyze the financial effects of climate change
by Stuart M Turnbull & Lawrence Habahbeh - 7741271 Bias-corrected estimators for the Vasicek model: an application in risk measure estimation
by Zi-Yi Guo - 7796966 Forecasting Bitcoin returns: is there a role for the US–China trade war?
by Vasilios Plakandaras & Elie Bouri & Rangan Gupta - 7797966 A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency
by Ted Yu - 7799456 Optimization of systemic risk: reallocation of assets based on bank networks
by Hu Wang & Shouwei Li - 7801426 Optimal foreign exchange hedge tenor with liquidity risk
by Rongju Zhang & Mark Aarons & Gregoire Loeper - 7820086 Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
by Anna Rokicka & Janusz Kudła - 7823146 Risk measures: a generalization from the univariate to the matrix-variate
by MarÃa A. Arias-Serna & Francisco J. Caro-Lopera & Jean-Michel Loubes - 7825411 A general framework for the identification and categorization of risks: an application to the context of financial markets
by Micha Bender & Sven Panz - 7834591 Option pricing using high-frequency futures prices
by Stavros Degiannakis & Christos Floros & Thomas Poufinas & George Filis & Konstantinos Gkillas - 7849596 Procyclicality control in risk-based margin models
by Lauren Wong & Yang Zhang - 7855986 A numerical approach to the risk capital allocation problem
by Henryk Gzyl & Silvia Mayoral - 7860436 Correlated idiosyncratic volatility shocks
by Xiao Qiao & Yongning Wang - 7861846 Performance measures adjusted for the risk situation (PARS)
by Christoph Peters & Roland C. Seydel - 7884001 Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
by Xinyu Wu & Yang Han & Chaoqun Ma - 7884026 An examination of the tail contribution to distortion risk measures
by Miguel Santolino & Jaume Belles-Sampera & José MarÃa Sarabia & Montserrat Guillen - 7884576 The impact of compounding on bond pricing with alternative reference rates
by Dario Cziráky & Ana Ponikvar - 7885566 Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
by Xiaohang Liu & Handong Li - 7888606 Time-varying tail dependence networks of financial institutions
by Fenghua Wen & Kaiyan Weng & Jie Cao - 7888641 Reinvestigating international crude oil market risk spillovers
by Cuixia Jiang & Yuqian Li & Qifa Xu & Jun Wu - 7888651 Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
by Jia Liu - 7889581 Modeling nonmaturing deposits: a framework for interest and liquidity risk management
by Emil Avsar & Benjamin Ruimy - 7905781 Covariance estimation for risk-based portfolio optimization: an integrated approach
by Andrew Butler & Roy H. Kwon - 7908056 Test for fractional degree stochastic dominance with applications to stock preferences for China and the United States
by Jianli Wang & Xiong Xiong & Lin Zhou & Xu Guo - 7909346 Ruin problems in a discrete risk model in a Markovian environment
by Hyun Joo Yoo & Jerim Kim - 7913811 Are there multiple independent risk anomalies in the cross section of stock returns?
by Benjamin R. Auer & Frank Schuhmacher - 7922206 How to build a risk factor model for non-life insurance risk
by Alessandro Ferriero - 7922226 Regularization effect on model calibration
by Mesias Alfeus & Xin-Jiang He & Song-Ping Zhu - 7923236 Estimating future value-at-risk from value samples, and applications to future initial margin
by Narayan Ganesan & Bernhard Hientzsch - 7931516 Severe but plausible – or not?
by Stefan Gavell & Mark Kritzman & Cel Kulasekaran - 7946581 Market efficiency and volatility within and across cryptocurrency benchmark indexes
by Dimitrios Koutsoupakis - 7947011 A factor-based risk model for multifactor investment strategies
by Frédéric Abergel & Benoit Bellone & François Soupé - 7948406 Modeling the exit cashflows of private equity fund investments
by Christian Tausch & Axel Buchner & Georg Schlüchtermann - 7948411 High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
by Elie Bouri & Rangan Gupta & Clement Kyei & Sowmya Subramaniam - 7951701 Detecting prudence and temperance in risk exposure: the hybrid variance framework
by Jun Gao & Xiang Gao & Xiaoli Liu & Zhan Wang - 7951756 A new approach to detecting change in credit quality
by Rusudan Kevkhishvili - 7952081 Future portfolio returns and the VIX term structure
by David Yechiam Aharon & Thomas Dimpfl - 7952161 Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines
by Stefanos Tsakonas & Michael Hanias & Lykourgos Magafas & Loukas Zachilas - 7953486 Forecasting the European Monetary Union equity risk premium with regression trees
by David Cortés & Pilar Soriano - 7953731 Shrinking beta
by David Blitz & Laurens Swinkels & Kristina Ūsaitė & Pim van Vliet - 7953736 A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
by Xinyu Wu & Michelle Xia & Huanming Zhang - 7954316 Distance to default based on the CEV–KMV model
by Wen Su - 7954879 The statistics of capture ratios
by Ruihong Jiang & David Saunders & Chengguo Weng - 7954976 Counterparty risk allocation
by Rainer Baule - 7954987 Forecasting the realized volatility of stock markets with financial stress
by Chuan Guo & Yiyun Feng - 7955082 Nonparametric estimation of systemic risk via conditional value-at-risk
by Ahmed Belhad & Davide Lauria & A. Alexandre Trindade - 7955208 Explainable artificial intelligence for credit scoring in banking
by Borger Melsom & Christian Bakke Vennerød & Petter Eilif de Lange & Lars Ole Hjelkrem & Sjur Westgaard - 7955285 Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
by Sebastian Letmathe & Yuanhua Feng & André Uhde - 7955347 Assessing systemic fragility: a probabilistic perspective
by Deyan Radev - 7955413 Modeling maxima with a regime-switching Fréchet model
by Keqi Tan & Yu Chen & Pengzhan Chen - 7955842 Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
by Jiusheng Chen - 7955870 The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans
by Mustafa Tevfik Kartal & Fatih Ayhan & Merve Altaylar - 7955948 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
by Xiaotong Song & Tiancai Xing & Xiaoyi Li - 7955969 Allocating and forecasting changes in risk
by Daniel Gaigall - 7956397 A theory for combinations of risk measures
by Marcelo Brutti Righi - 7956413 Value-at-risk models: a systematic review of the literature
by Reem Shayya & Maria Teresa Sorrosal-Forradellas & Antonio Terceño - 7956416 The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets
by Ziliang Yu & Yanan Liu & Huiting Mang & Xiaomeng Liu - 7956445 A dynamic program under Lévy processes for valuing corporate securities
by Hatem Ben-Ameur & Rim Chérif & Bruno N. Rémillard - 7956754 Target-date funds: lessons learned?
by Bin Chang & Laurence Booth - 7956913 On capital allocation under information constraints
by Christoph J. Börner & Ingo Hoffmann & Fabian Poetter & Tim Schmitz - 7956937 Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
by Xinyu Wu & Xueting Mei & Xuebao Yin - 7956986 The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
by Qiwei Xie & Lu Cheng & Jingyu Li & Xiaolong Zheng - 7957135 The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures
by Lukas Tilmann & Martin Walther - 7957164 Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing
by Tingli Liu & JiaNing Liu & Junjun Ma & Yafei Tai - 7957320 Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
by Samir Saissi Hassani & Georges Dionne - 7957437 An approach to capital allocation based on mean conditional value-at-risk
by Yuecai Han & Fengtong Zhang & Xinyu Liu - 7957625 The importance of being scrambled: supercharged quasi-Monte Carlo
by Sergei Kucherenko & Julien Hok - 7957738 Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns
by Christoph J. Börner & Ingo Hoffmann & Jonas Krettek & Lars M. Kürzinger & Tim Schmitz - 7957779 Research on the premium for the joint lower-tail risk of liquidity and investor sentiment
by Yuting Hou & Xiu Jin & Wei-Qiang Huang - 7957878 Estimating the impact of climate change on credit risk
by Stuart M Turnbull - 7958179 Realized quantity extended conditional autoregressive value-at-risk models
by Pit Götz - 7958269 Peak-to-valley drawdowns: insights into extreme path-dependent market risk
by Hans Geboers & Benoit Depaire & Stefan Straetmans - 7958435 Mean–variance insurance design under heterogeneous beliefs
by Yanhong Chen & Wenjun Jiang & Yiying Zhang - 7958486 Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
by Houmera Bibi Sabera Nunkoo & Noor-Ul-Hacq Sookia & Preethee Nunkoo Gonpot & Thekke Variyam Ramanathan - 7958874 The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio
by Paulo Viegas de Carvalho & Carlos Manuel Pinheiro & Marta Sofia Rodrigues - 7958945 Multi-factor default correlation model estimation: enhancement with bootstrapping
by Zhihui Yang & Saikat Ray Majumder & Weiwei Shen & Stephane Karm & Douglas Cameron & James Gellert - 7958970 Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
by Thomas Siegl & Daniel Steinberg - 7958987 Banking competition and systemic risk: evidence from China
by Jiawei Guo & Jiwen Chai - 7959570 Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework
by Peng Yang - 7959657 The impact of economic sentiment on financial portfolios during the recent turmoil
by Thibault Bougerol & Julien Fouquau - 7959661 Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
by Taras Bodnar & Vilhelm Niklasson & Erik Thorsén - 7959664 Tracking toxicity in fast and complex markets
by Agnieszka Jach - 7959805 US regional banks: challenges and opportunities
by Hélyette Geman & Olivier Levyne - 7959846 Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming
by Nick Georgiopoulos - 7959879 Analyzing market sentiment based on the option-implied distribution of stock returns
by Shu Ling Chiang & Ming Shann Tsai - 7959880 Kernel-based estimation of spectral risk measures
by Suparna Biswas & Rituparna Sen - 7959966 Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
by Xinyu Wu & Yuyao Wang & Bo Zhang - 7960026 Converting a covariance matrix from local currencies to a common currency
by Gianluca Fusai & Domenico Mignacca & Khalifa Al-Thani - 7960027 Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors
by David Lozinski & Chris Stavnitzky - 7960029 Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions
by Ce Guo & Qiwei Xie & Jingyu Li & Dandan Zhang - 7960484 Bonus caps and bankers’ risk-taking
by Esa Jokivuolle & Jussi Keppo & Xuchuan Yuan - 7960520 Relaxing the assumption of conditional independence in an asymptotic single risk factor model
by Frederic Menninger - 7960600 Expectile risk quadrangles and applications
by Anton Malandii & Viktor Kuzmenko & Stan Uryasev - 7960628 Optimal trade execution with unknown drift
by Martin Forde - 7960645 We will shock you: a coherent Bayesian approach for stress testing
by João VinÃcius França Carvalho & Filipi Sanguino - 7960705 The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach
by Zilong Liu & Hongyan Liang - 7960706 Earnings moves and pre-earnings implied volatility
by Arjun K. M. & Mike Lipkin & Leon Tatevossian - 7960707 The effects of climate transition risk on an investment portfolio
by Marco van der Burgt