Recent Papers
- Model risk quantification for machine learning models in credit risk
- Research on the dynamic early warning effect on the manufacturing industry from the perspective of systemic financial risks: evidence from the Chinese market
- Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
- Life-cycle planning model with inflation and time-varying consumption constraints
- Dynamic Risk Factors and An Intertemporal Capital Asset Pricing
- Distributionally Robust Risk Evaluation With a Causality Constraint and Structural Information
- Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches
- Primal and dual optimal stopping with signatures
- A three-stage fusion model for predicting financial distress considering semantic and sentiment information
- Robust Λ$Lambda$‐Quantiles and Extremal Distributions
- Author Index VOLUME 6 (2020)
- Randomization of spectral risk measures and distributional robustness
- How confident are we of margin model procyclicality measurements?
- Convexity adjustments à la Malliavin
- Proper solutions for Epstein–Zin stochastic differential utility
- An explicit scheme for pathwise cross valuation adjustment computations
- Bayesian nonparametric modelling of stochastic volatility
- CV@R-penalised portfolio optimisation with biased stochastic mirror descent
- The fate of zombie firms: prediction, determinants and exit paths
- Enhancing default prediction in alternative lending: leveraging credit bureau data and machine learning
- Overcoming issues with time-scaling value-at-risk
- The future of risk and insurability in the era of systemic disruption, unpredictability and artificial intelligence
- Hedging of Fixing Exposure
- Disaster insurance swaps
- A flexible commodity skew model with maturity effects
