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Accelerated American Option Pricing with deep neural networks
Anderson, David; Ulrych, Urban - 2021 - This Version: December 2021
Given the competitiveness of a market-making environment, the ability to speedily quote option prices consistent with an ever-changing market environment is essential. Thus, the smallest acceleration or improvement over traditional pricing methods is crucial to avoid arbitrage. We propose a...
Persistent link: https://www.econbiz.de/10012800926
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Machine learning with kernels for portfolio valuation and risk management
Boudabsa, Lotfi; Filipović, Damir - 2019
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a...
Persistent link: https://www.econbiz.de/10012052380
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Pollution permits and financing costs
Antoniou, Fabio; Delēs, Manthos D.; Ongena, Steven; … - 2020
Effective environmental policy should consider how the financiers of polluting firms behave. In our theoretical model describing the periods before and after policy implementation, loan spreads for firms participating in cap-and-trade programs are a function of the costs of compliance, the...
Persistent link: https://www.econbiz.de/10012421274
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ESG and systemic risk
Aevoae, George-Marian; Andrieş, Alin Marius; Ongena, Steven - 2022
How do changes in Environmental, Social and Governance (ESG) scores influence banks’ systemic risk contribution? We … document a beneficial impact of the ESG Combined Score and Governance pillar on banks’ contribution to system-wide distress … findings stress the importance of integrating banks’ ESG disclosure into regulatory authorities’ supervisory mechanisms as …
Persistent link: https://www.econbiz.de/10013169195
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Green versus sustainable loans : the impact on firms' ESG performance
Dursun-de-Neef, Özlem; Ongena, Steven; Tsonkova, Gergana - 2022 - This draft: May 20, 2022
This paper studies the development of a firm’s Environmental, Social, and Governance (ESG) performance following the … issuance of “green loans” earmarked for green projects versus “sustainable loans” to firms bench-marked by ESG criteria. Firms … other hand, we find to incentivize firms to improve their ESG performance by increasing their environmental and governance …
Persistent link: https://www.econbiz.de/10013202785
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The virtue of complexity in machine learning portfolios
Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - 2021
Contrary to conventional wisdom in nance, return prediction R2 and optimal portfolio Sharpe ratio generally increase with model parameterization, even when minimal regularization is used. We theoretically characterize the behavior of return prediction models in the high complexity regime, i.e....
Persistent link: https://www.econbiz.de/10012800453
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Polytope fraud theory
Zhao, Dongshuai; Wang, Zhongli; Schweizer-Gamborino, Florian - 2022
Polytope Fraud Theory (PFT) extends the existing triangle and diamond theories of accounting fraud with ten abnormal financial practice alarms that a fraudulent firm might trigger. These warning signals are identified through evaluation of the shorting behavior of sophisticated activist short...
Persistent link: https://www.econbiz.de/10013202768
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A deep learning approach to estimate forward default intensities
Divernois, Marc-Aurèle - 2020 - Preliminary draft
This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous...
Persistent link: https://www.econbiz.de/10012419329
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Data analytics for non-life insurance pricing
Wüthrich, Mario V.; Buser, Christoph - 2017 - Draft lecture notes, version January 27, 2017
These notes aim at giving a broad skill set to the actuarial profession in insurance pricing and data science. We start from the classical world of generalized linear models, generalized additive models and credibility theory. These methods form the basis of the deeper statistical understanding....
Persistent link: https://www.econbiz.de/10011625588
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Extracting statistical factors when betas are time-varying
Gagliardini, Patrick; Ma, Hao - 2019 - This version: July 2019
This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual...
Persistent link: https://www.econbiz.de/10012176811