Mark Cummins
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View article: Appraising Model Complexity in Option Pricing
Appraising Model Complexity in Option Pricing Open
The research question we consider is whether incremental complexity in option pricing models is justified by incremental model performance. We apply the model confidence set as a formal model comparison approach in appraising stochastic vo…
View article: DeePC-Hunt: Data-enabled Predictive Control Hyperparameter Tuning via Differentiable Optimization
DeePC-Hunt: Data-enabled Predictive Control Hyperparameter Tuning via Differentiable Optimization Open
This paper introduces Data-enabled Predictive Control Hyperparameter Tuning via Differentiable Optimization (DeePC-Hunt), a backpropagation-based method for automatic hyperparameter tuning of the DeePC algorithm. The necessity for such a m…
View article: The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector
The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector Open
The Fundamental Review of the Trading Book (FRTB) is the promised overhaul of bankmarket risk regulation. FRTB retains the authorized use of proprietary risk models, however, it introduces two additional criteria: (i) P&L attribution (PLA)…
View article: Financing Building Renovation: Financial Technology as an Alternative Channel to Mobilise Private Financing
Financing Building Renovation: Financial Technology as an Alternative Channel to Mobilise Private Financing Open
Access to capital is one of the key barriers for deep renovation. This chapter presents the potential advantages and benefits that financial technology (FinTech) solutions such as crowdfunding and blockchain-based solutions such as tokenis…
View article: Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling Open
We consider the practice-relevant problem of modelling multiple price curves to support activities such as price curve simulation and risk management. In this multi-curve setting, the challenge is to jointly capture the risk-factor relatio…
View article: Perceived Risk as a Determinant of Propensity to Adopt Account Information Services under the EU Payment Services Directive 2
Perceived Risk as a Determinant of Propensity to Adopt Account Information Services under the EU Payment Services Directive 2 Open
Globalisation, technological advances, liberalisation of financial markets, and changing consumer behaviour are transforming banking profoundly. Under the EU Payment Services Directive 2 (PSD2), incumbent banks must open up their data, pro…
View article: Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management Open
An objective of model validation within organisations is to provide guidance on model selection decisions that balance the operational effectiveness and structural complexity of competing models. We consider a practice-relevant model valid…
View article: Commodity risk in European dairy firms
Commodity risk in European dairy firms Open
We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show tha…
View article: Institutional investment in online business lending markets
Institutional investment in online business lending markets Open
We provide new insights into the business lending decisions of institutional investors in online credit markets by benchmarking their lending performance against that of retail investors.We find superior performance for loans financed by i…
View article: Using extracted forward rate term structure information to forecastforeign exchange rates
Using extracted forward rate term structure information to forecastforeign exchange rates Open
The difficulty of beating the random walk in forecasting spot foreign exchange rates is well documented. In this paper, we propose a functional principal component-based scalar response model which we benchmark versus leading VECM framewor…
View article: Addressing Information Asymmetries in Online Peer-to-Peer Lending
Addressing Information Asymmetries in Online Peer-to-Peer Lending Open
Digital technologies are transforming how small businesses access finance and from whom. This chapter explores online peer-to-peer (P2P) lending, a form of crowdfunding that connects borrowersBorrowers and lendersLenders. Information asymm…
View article: The value of director reputation: Evidence from outside director appointments
The value of director reputation: Evidence from outside director appointments Open
This study examines the role of director reputation using a sample of outside director appointments. Relative to existing literature, we focus on outside director appointments involving CEO award winners. Exploiting the award-induced chang…
View article: A high-frequency analysis of price resolution and pricingbarriers in equities on the adoption of a new currency
A high-frequency analysis of price resolution and pricingbarriers in equities on the adoption of a new currency Open
We use ultra high frequency (trade by trade) data to demonstrate that equity price clustering and pricing predictability around psychologically important prices in Greece switches away from drachma-focused with the introduction of the euro…
View article: Should You Disclose a Data Breach via Social Media? Evidence from US Listed Companies
Should You Disclose a Data Breach via Social Media? Evidence from US Listed Companies Open
Data breaches represent one of the main concerns for executives across all sectors. Data breaches open a period of crisis for the affected firm and require them to disclose complex information to a variety of stakeholders in a timely and p…
View article: Oil market modelling: A comparative analysis of fundamental and latent factor approaches
Oil market modelling: A comparative analysis of fundamental and latent factor approaches Open
We formally compare fundamental factor and latent factor approaches to oil price modelling. Fundamental modelling has a long history in seeking to understand oil price movements, while latent factor modelling has a more recent and limited …