We propose a counter-cyclical initial margin model for option portfolios. Our model explores the intrinsic netting within a given portfolio of European options and outputs a constant upper bound of the maximum possible loss. This feature would allow option clearinghouses and regulators to gauge...

This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects and hence the estimation error can be magnificent. As such, we propose another approach to construct the estimators...

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time series. It combines the merits of a popular sequential...

Under the SABR stochastic volatility model, pricing and hedging contracts that are sensitive to forward smile risk (e.g., forward starting options, barrier options) require the joint transition density.In this paper, we address this problem by providing closed-form representations,...

Information is a crucial ingredient in economic decision making. Yet measuring the extent of information exchange among individuals and its effect on economic outcomes is a difficult task. We use the universe of de-identified cellphone usage records from more than one million users in a Chinese...

Research related to child welfare often suggests complicated relationships between child maltreatment, social disadvantage, program and policy effects, individual development, and population conditions that interact and change over time. New theories and conceptual models that account for this...

We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the...