Related papers: Assessing Financial Statement Risks among $\mathrm…
Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss…
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk measures, designed to capture volatility or drawdowns, overlook…
Sophisticated machine learning (ML) models to inform trading in the financial sector create problems of interpretability and risk management. Seemingly robust forecasting models may behave erroneously in out of distribution settings. In…
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of…
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
Annual Reports of publicly listed companies contain vital information about their financial health which can help assess the potential impact on Stock price of the firm. These reports are comprehensive in nature, going up to, and sometimes…
There has been a significant amount of research into spreadsheets over the last two decades. Errors in spreadsheets are well documented. Once used mainly for simple functions such as logging, tracking and totalling information, spreadsheets…
Risk allocation, the decomposition of a portfolio-wide risk measure into component contributions, is a fundamental problem in financial risk management due to the non-additive nature of risk measures, the layered organizational structures…
Accurate forecasting of downside risks to economic growth is critically important for policymakers and financial institutions, particularly in the wake of recent economic crises. This paper extends the Growth-at-Risk (GaR) approach by…
Automatic differentiation is involved for long in applied mathematics as an alternative to finite difference to improve the accuracy of numerical computation of derivatives. Each time a numerical minimization is involved, automatic…
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…
Compositional data are contemporarily defined as positive vectors, the ratios among whose elements are of interest to the researcher. Financial statement analysis by means of accounting ratios a.k.a. financial ratios fulfils this definition…
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
Heavy use of spreadsheets by organisations bears many potential risks such as errors, ambiguity, data loss, duplication, and fraud. In this paper these risks are briefly outlined along with their available mitigation methods such as:…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
We theorize the financial health of a company and the risk of its default. A company is financially healthy as long as its equilibrium in the financial system is maintained, which depends on the cost attributable to the probability that…
Changes in technology have resulted in new ways for bankers to deliver their services to costumers. Electronic banking systems in various forms are the evidence of such advancement. However, information security threats also evolving along…
Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have…