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Found 17 papers, 0 papers with code
The Carbon Premium: Correlation or Causation? Evidence from S&P 500 Companies
In this study, we investigate whether firms' emissions is causally linked to the presence of a carbon premium in a panel of 141 firms listed in the S\&P500 index using fixed-effects analysis, with propensity score weighting to control for selection bias in which firms increase their emissions.
ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market
This paper proposes an algorithmic trading framework integrating Environmental, Social, and Governance (ESG) ratings with a pairs trading strategy.
Loan portfolio management and Liquidity Risk: The impact of limited liability and haircut
For the constructed three-time step loan portfolio, at the initial time, the bank raises capital via debt and equity, investing the same in several classes of loans, while at the final time, the bank either meets its liabilities or becomes insolvent.
Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets
In this article, we present a novel approach for the construction of an environment-friendly green portfolio using the ESG ratings, and application of the modern portfolio theory to present what we call as the ``green efficient frontier'' (wherein the environmental score is included as a third dimension to the traditional mean-variance framework).
Classification based credit risk analysis: The case of Lending Club
In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club.
Multilevel Monte Carlo and its Applications in Financial Engineering
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering.
Does limited liability reduce leveraged risk?: The case of loan portfolio management
We formulate four models, two of them are maximizing the expected return with risk constraint, including and excluding limited-liability, and other two are minimization of risk with threshold level of return with and without limited-liability.
Multilevel Richardson-Romberg and Importance Sampling in Derivative Pricing
We rely on the Robbins-Monro algorithm with projection, in order to approximate optimal change of measure parameter, for various levels of resolution in our multilevel algorithm.
Studying the age of onset and detection of Chronic Myeloid Leukemia using a three-stage stochastic model
Chronic Myeloid Leukemia (CML) is a biphasic malignant clonal disorder that progresses, first with a chronic phase, where the cells have enhanced proliferation only, and then to a blast phase, where the cells have the ability of self-renewal.
Leverage Ratio: An empirical study of the European banking system
This paper empirically analyzes a dataset published by the European Banking Authority.
Progression, Detection and Remission: Evolution of Chronic Myeloid Leukemia using a three-stage probabilistic model
We present a three-stage probabilistic model for the progression of Chronic Myeloid Leukemia (CML), as manifested by the leukemic stem cells, progenitor cells and mature leukemic cells.
Single Event Transition Risk: A Measure for Long Term Carbon Exposure
In this article, we define the Single Event Transition Risk (SETR) and illustrate how it can be used to approximate the magnitude of the total exposure of the price of a share to low-carbon transition.
Modeling premiums of non-life insurance companies in India
We undertake an empirical analysis for the premium data of non-life insurance companies operating in India, in the paradigm of fitting the data for the parametric distribution of Lognormal and the extreme value based distributions of Generalized Extreme Value and Generalized Pareto.
Modeling the dynamics of COVID-19 transmission in India: Social Distancing, Regional Spread and Healthcare Capacity
In the new paradigm of health-centric governance, policy makers are in a constant need for appropriate metrics and estimates in order to determine the best policies in a non-arbitrary fashion.
Modeling the commodity prices of base metals in Indian commodity market using a Higher Order Markovian Approach
In particular, the order of the former model, is taken to be the delay, in the response of the industry, to the market information.
Is being `Robust' beneficial?: A perspective from the Indian market
The problem of data uncertainty has motivated the incorporation of robust optimization in various arenas, beyond the Markowitz portfolio optimization.
Can robust optimization offer improved portfolio performance?: An empirical study of Indian market
The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model.
