Related papers: How Unlucky is 25-Sigma?
Credit Value Adjustment (CVA) is the difference between the value of the default-free and credit-risky derivative portfolio, which can be regarded as the cost of the credit hedge. Default probabilities are therefore needed, as input…
In an era when derivatives is getting popular, risk management has gradually become the core content of modern finance. In order to study how to accurately estimate the volatility of the S&P 500 index, after introducing the theoretical…
The 2008 financial crisis exposed fundamental vulnerabilities in interconnected banking systems, yet existing frameworks fail to integrate spatial propagation with network contagion mechanisms. This paper develops a unified spatial-network…
This paper quantifies the international spillovers of US monetary policy by exploiting the high-frequency movement of multiple financial assets around FOMC announcements. I use the identification strategy introduced by Jarocinski & Karadi…
Since its discovery as a pulsar in 2000, the central compact object (CCO) 1E 1207.4-5209 in the supernova remnant PKS 1209-51/52 had been a stable 0.424 s rotator with an extremely small spin-down rate and weak (Bs ~ 9E10 G) surface dipole…
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading in the underlying asset and this…
Reliable estimates of volatility and correlation are fundamental in economics and finance for understanding the impact of macroeconomics events on the market and guiding future investments and policies. Dependence across financial returns…
Do vulnerabilities in Decentralized Finance (DeFi) destabilize traditional short-term funding markets? While the prevailing ``Contagion Hypothesis'' posits that stablecoin reserve liquidations may transmit distress to traditional markets…
One of the most important features of financial time series data is volatility. There are often structural changes in volatility over time, and an accurate estimation of the volatility of financial time series requires careful…
This paper analyses the risk factors around investing in global supply chain infrastructure: the energy market, investor sentiment, and global shipping costs. It presents portfolio strategies associated with dynamic risks. A time-varying…
In an informal way, a number of thoughts on the financial crisis 2008 are presented from a physicist's viewpoint, considering the problem as a nonergodicity transition of a spin-glass type of system. Some tentative suggestions concerning…
Recently, to account for low-frequency market dynamics, several volatility models, employing high-frequency financial data, have been developed. However, in financial markets, we often observe that financial volatility processes depend on…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
While financial misconduct in advisory services persists despite regulation, the demand-side of market discipline, specifically the timing of investor detection, remains a critical bottleneck. Using approximately 55,700 FINRA BrokerCheck…
Since the detection of the asymptotic properties of the dipole gravity modes in the Sun, the quest to find the individual gravity modes has continued. A deeper analysis of the GOLF/SoHO data unveils the presence of a pattern of peaks that…
Listing on the Dow Jones Sustainability Index is seen as a gold-standard, verifying to the market that a firm is fully engaged with a corporate social responsibility agenda. Robustly quantifying the impact of listing, and de-listing,…
In addition to the Gnevyshev-Ohl rule (GOR), the relation of the odd cycle with the subsequent even one in the 22-year Hale solar cycle was found. It is shown that 3 years before the 11-year minimum $m$, the value of the relative sunspot…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that…
This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…