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Distributed multi-party learning provides an effective approach for training a joint model with scattered data under legal and practical constraints. However, due to the quagmire of a skewed distribution of data labels across participants…
Working with a non-stationary stream of data requires for the analysis system to evolve its model (the parameters as well as the structure) over time. In particular, concept drifts can occur, which makes it necessary to forget knowledge…
This article presents FVA and CVA of a bilateral derivative in a coherent manner, based on recent developments in fair value accounting and ISDA standards. We argue that a derivative liability, after primary risk factors being hedged,…
Enterprise deep research often fails to produce decision-ready reports due to uneven information coverage, context explosion, and premature stopping. We propose a scalable Enterprise Deep Research (EDR) architecture to address these…
The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual transactions in active markets. Moreover, this study…
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…
An uncollateralized swap hedged back-to-back by a CCP swap is used to introduce FVA. The open IR01 of FVA, however, is a sure sign of risk not being fully hedged, a theoretical no-arbitrage pricing concern, and a bait to lure market risk…
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk…
Mobile edge computing (MEC) paves the way to alleviate the burden of energy and computation of mobile users (MUs) by offloading tasks to the network edge. To enhance the MEC server utilization by optimizing its resource allocation, a…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
Customization is a general trend in software engineering, demanding systems that support variable stakeholder requirements. Two opposing strategies are commonly used to create variants: software clone & own and software configuration with…
Recently, the volatility associated with marginal prices has increased due to large scale integration of renewable generation. Price volatility is undesirable from a consumer perspective. To address this issue, we present a framework for…
Given a universe of N assets, investors often form equally weighted portfolios (EWPs) by selecting subsets of assets. EWPs are simple, robust, and competitive out-of-sample, yet the uncertainty about which subset truly performs best is…
This paper introduces and defines a novel concept in sustainable investing, termed crosswashing, and explore its impact on ESG (Environmental, Social, and Governance) ratings through quantitative analysis using a Multi-Criteria Decision…
Many real-life decision-making situations allow further relevant information to be acquired at a specific cost, for example, in assessing the health status of a patient we may decide to take additional measurements such as diagnostic tests…
Flexibility requirements are becoming more relevant in power system planning due to the integration of variable Renewable Energy Sources (vRES). In order to consider these requirements Generation Expansion Planning (GEP) models have…
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default…