This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...

This study assesses the effects of the magnitude of oil price shocks i.e. large negative, positive and moderate oil price shocks on equity market returns in BRICS countries during different market circumstances by making use of quantile-on-quantile regression. The current study differs from...

This paper investigates the estimation of the Value-at-Risk (VaR) across various probability levels for the log-returns of a comprehensive dataset comprising four thousand crypto-assets. Employing four recently introduced Adaptive Conformal Inference (ACI) algorithms, we aim to provide robust...

The popularity of cryptocurrency exchanges has surged in recent years, accompanied by the proliferation of new digital platforms and tokens. However, the issue of credit risk and the reliability of crypto exchanges remain critical, highlighting the need for indicators to assess the safety of...

Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely...

Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not...

Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation apply only to macroeconomic scenarios. Loan level credit quality is not a factor in these models. In practice, credit profile at assessment time plays an important role in the...

The paper addresses an inefficiency of the traditional approach in modeling the tail risk, particularly the 1-day ahead forecast of Value-at-Risk (VaR), using Extreme Value Theory (EVT) and GARCH model. Specifically, I apply both models onto major countries stock markets daily loss, including...

Many Muslim individual and institutional investors seek to invest only in stocks that are compliant with the Shari'ah (i.e. Islamic law). Among others, Dow Jones addressed this demand and has developed their proprietary screening methodologies to identify Shari'ah compliant firms (SC). One key...