We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when
forecasting realized volatility in the WTI futures market. Additionally, we study whether other …

Analysis and management of credit risk has taken on an increased importance in recent
years. New regulations force banks and other financial institutions to make a credible effort to …

… This paper considers the difference in a company’s debt ratio in relation to the industry where
the company belongs. The various industries experience different business environments. …

Forecasting quantile and value-at-risk levels for commodity prices is methodologically
challenging because of the distinctive stochastic properties of the price density functions, volatility …

… a new graphic tool called ‘Westgard Sigma Rules’. This graphic provides the traditional
flowchart for the application and interpretation of Westgard Rules, but includes a Sigma-scale at …

In this paper we develop fundamental quantile regression models for the UK electricity price
in each trading period. Intraday properties of price risk, as represented by the predictive …

… showed how to integrate the classic Westgard approach with the Parvin approach to improve
the SQC design process. They provide nomograms that show the relationship between …

… The LightGBM model clearly outperforms the bank’s actual credit scoring model (Logistic …
the LightGBM model’s increased predictive performance compared to the bank’s LR model. …

… The closer the operating point of a method is to the graph’s origin, or bull’s-eye, the
easier the QC effort is. A method that actually “hits the bull’s-eye” actually does not need to …

Understanding the mechanisms that drive extreme negative and positive prices in day-ahead
electricity prices is crucial for managing risk and market design. In this paper, we consider …