March 2017 - 7 articles
This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these styliz...
Neural networks are well suited to predict future results of time series for various data types. This paper proposes a hybrid neural network model to describe the results of the database of the New York Stock Exchange (NYSE). This hybrid model brings...
We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty...
This paper deals with the optimal retention level under four competitive criteria: survival probability, expected profit, variance and expected shortfall of the insurer’s risk. The aggregate claim amounts are assumed to be distributed as compound Poi...
By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise, by several orders of magnitude. To max...
The editors of the Journal of Risk and Financial Management would like to express their sincere gratitude to the following reviewers for assessing manuscripts in 2016.[...]
This paper studies the optimal mortgage choice of an investor in a simple bond market with a stochastic interest rate and access to term life insurance. The study is based on advances in stochastic control theory, which provides analytical solutions...
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