Price limit is a prevalent policy that intends to control significant volatility in financial markets. In the financial markets with price limit, the trades will be prevented from occurring outside the specified price bands. This paper analyses and compares the effectiveness of three price limit...

The coronavirus pandemic has created a new awareness of epidemics, and insurance companies have been reminded to consider the risk related to infectious diseases. This paper extends the traditional multi-state models to include epidemic effects. The main idea is to specify the transition...

Brokerage houses historically have provided research and related services togeth-er with order execution without separate fees. This practice of research bundling through so-called soft commissions has triggered an intense and ongoing debate considering that research bundling leads to...

Using instant message communications and trading records of professional traders, we directly measure how investment information propagates in traders’ social networks and how it affects their trading decisions and performance. Traders are more likely to mention stocks with gains over losses,...

Model risk can be broadly defined as the possibility of suffering losses due to errors either in the development or use of models. Financial pricing and risk measurement are subject to model risk, and its quantification is a hot topic in both academia and the financial industry. This paper...

This paper addresses the building of obligor-level hazard rate corporate probability of default models for stress testing, departing from the predominant practice in wholesale credit modeling of constructing segment-level models for this purpose. We build models based upon varied financial,...

Model selection is a critical step in model development and brings with it a significant level of model risk. This analysis considers a real-world example and compares the forecasts and uncertainties of three possibilities: the model selected as best, the best ensemble and the model not...