4 papers
Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. I…
Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications
Matteo Malavasi, Gareth W. Peters, Stefan Treuck +3
Cyber risk classifications are widely used in the modeling of cyber event distributions, yet their effectiveness in out of sample forecasting performance remains underexplored. In…
Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics
Peilun He, Nino Kordzakhia, Gareth W. Peters +1
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic…
State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
The Nelson-Siegel model is widely used in fixed income markets to produce yield curve dynamics. The multiple time-dependent parameter model conveniently addresses the level, slope,…