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- 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 - 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 - 7958945 Multi-factor default correlation model estimation: enhancement with bootstrapping
by Zhihui Yang & Saikat Ray Majumder & Weiwei Shen & Stephane Karm & Douglas Cameron & James Gellert - 7958987 Banking competition and systemic risk: evidence from China
by Jiawei Guo & Jiwen Chai - 7959657 The impact of economic sentiment on financial portfolios during the recent turmoil
by Thibault Bougerol & Julien Fouquau - 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 - 7959966 Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
by Xinyu Wu & Yuyao Wang & Bo Zhang - 7960029 Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions
by Ce Guo & Qiwei Xie & Jingyu Li & Dandan Zhang - 7960520 Relaxing the assumption of conditional independence in an asymptotic single risk factor model
by Frederic Menninger - 7961074 A tale of two tail risks
by Xin Huang - 7961114 The power of neural networks in stochastic volatility modeling
by Caspar Schön & Martin Walther - 7961140 Approximate risk parity with return adjustment and bounds for risk diversification
by Viraat Singh & Ali Hirsa - 7961656 The Covid-19 pandemic and the portfolio diversification effect of catastrophe bonds
by Chi Feng & Xudong Zeng - 7961694 How confident are we of margin model procyclicality measurements?
by Pedro Gurrola-Perez - 7961988 Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure
by Yuanhua Feng & Christian Peitz - 7962286 The implications of extraordinary speed in contemporary financial markets trading
by Viktor Manahov - 7962327 A robust distorted Orlicz premium: modeling, computational scheme and applications
by Qiong Wu & Huifu Xu - 7962554 Forecasting extreme tail risk in China’s banking sector: an approach based on a component generalized autoregressive conditional heteroscedasticity and mixed data sampling model and extreme value theory
by Xiaobin Du & Yan Sun - 7962940 Is climate policy uncertainty positively or negatively priced in the stock market, and why?
by Liang Wu & Binwei Xu & Meng Han - 7963099 Analyzing cryptocurrency risk with a stochastic volatility normal tempered stable process via hybrid optimization
by Moshtagh Darvishi & Navideh Modaressi - 7963110 From expansion to recession: unraveling the performance of Chinese hedge funds through economic shifts
by Xiangrui Zeng & Rui Guo & Zhigang Qiu & Hefei Wang