Asset prices exhibit characteristics that significantly deviate from log-normality and display time-varying stochastics. There is ample evidence of jumps in one asset price or market leading to jumps in other assets' prices or markets. We propose a multivariate jump diffusion model with...

We extend beyond healthiness assessment of banks using quantitative financial data by applying textual sentiment analysis. Looking at 10-K annual reports for a large sample of banks in the 2000-2014 period, 52 public bank holding companies that were associated with bank failures during the...

In this paper, we derive and assess a framework in which a firm's financial environment is an integral part of its hedging decisions. In the framework, the characteristics of firms in the network and their interconnections affect the firm's risk management strategy through impact on contract...

We introduce a minimum spanning tree framework to describe the risk dependencies and interactions of both total and idiosyncratic risk in the energy sector. We apply the framework to equity and CDS spread data of 51 domestic and 116 international energy firms, both non-renewable and renewable,...

In a highly interconnected financial economy, deciphering co-dependencies between asset prices and their time-varying dynamics is challenging and important for sound financial decisions. This paper develops a framework to study dynamic features of a financial network, that incorporates...