While machine learning and its many variants are becoming established tools in quantitative finance, their application in a risk measurement context is less developed. This paper uses a scheme from probability theory and statistics – Gaussian Processes – and applies the corresponding...

The addition or deletion of companies to/from a stock index has major consequences, with a change in demand from index-tracking investors and funds constituting the most obvious one. Numerous event studies since the 1980s have evidenced the existence of abnormal returns and trading volumes...