This paper investigates how to improve statistical-based credit scoring of SMEs involved in P2P lending. The methodology discussed in the paper is a factor network-based segmentation for credit score modeling. The approach first constructs a network of SMEs where links emerge from comovement of...

This paper examines the major causes of Silicon Valley Bank’s (SVB) collapse in March 2023 from a regulatory and risk management perspective. Using SVB Financial Group’s 10-K filings, we show that the economic value of equity pointed to excessive interest rate risks in SVB’s balance sheet...

Starting from well-known empirical stylised facts of financial time series, we develop dynamic portfolio protection trading strategies based on econometric methods. As a criterion for riskiness we consider the evolution of the value-at-risk spread from a GARCH model with normal innovations...

As cryptocoins are not tied to fundamental values or to investor protection regulation, their price dynamics is unhinged in both directions. In institutional asset management of conventional asset classes, target volatility concepts and dynamic allocation heuristics are popular to improve the...

In this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were...

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate extreme value analysis. Those properties will be compared to the traditional exchange rates of the G10 currencies versus the US...

Since the early beginning of investing as it was commonly seen as a form of gambling for the rich and wealthy, the idea of Harry Markowitz was revolutionising the way of thinking and how portfolios should be constructed. However, today the traditional mean-variance portfolios are still not fully...