Digital Finance must become the center of academic research in finance if the European financial industry is to remain competitive in the future. We argue that the new interdisciplinary field of Digital Finance should be prioritized based on the strategic priorities of the European Union, the...

Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant success in multiple domains, still has to show its...

We analyze drivers of the EUR/CHF exchange rate in different regimes between 2000 and 2020. Structural breaks between these subperiods are estimated in an integrated way together with the drivers that are relevant during these subperiods. Overall, the main drivers of the exchange rate include...

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...

Peer-to-Peer (P2P) fintech platforms allow cost reduction and service improvement in credit lending. However, these improvements may come at the price of a worse credit risk measurement, and this can hamper lenders and endanger the stability of a financial system. We approach the problem 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...

The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...

The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...