Risk aggregation is the roll-up of low-level risks or sub-risks to higher levels. Risk management for banks or insurance institutions involves risk measurement and risk control at the individual risk level, including market risk, credit risk, and operational risks and also the aggregated risk of...

Lately liquidity risk has received attention from regulators and banks - having witnessed how a credit crisis evolved into a major liquidity funding problem for many banks. Following the crisis regulators has put forward a new regulation, headed under Basel III, for liquidity risk focusing on...

The management of a liquid asset portfolio that can be used to generate counterbalancing capacity in liquidity distress is quickly emerging as a core function in banks. The new Basel III liquidity risk regulation underscores the importance in banks managing a liquidity contingency buffer. The...

Actively pricing and hedging CVA has quickly emerged as a core function in banks. One of the major functions of the CVA desk is to risk manage CVA. It is well known that wrong way risk has a significant impact on both CVA itself, as well as on the CVA sensitivites (i.e., the Greeks). This means...

The open-source software (OSS) production model has been gaining ground and even expanding to a broader class of products. A central virtue of OSS is co-creation through contributions and feedback from the user community, yet our knowledge of how to coordinate and maximize the benefit of such...

Algorithms penetrate housing markets and have far-reaching effects on household well-being. We study algorithmic buyers (iBuyers) - through which platforms use algorithms to quickly value, buy, and sell homes - and their impact on housing affordability. Using millions of Zillow transaction data...

We utilize the exogenous intertemporal variation in employment protection across countries and study the impact of employment protection on international equity markets. We find robust evidence that firms located in countries with weak labor protection regulation exhibit a low level of stock...

This paper explores the impact of political network on insider trading activities in China. With a comprehensive network mapping links between politicians and firm Chairmen, we find that stronger political network discourages insider trading. Such effect is stronger among long-standing,...