Working Paper Series

Working Paper Series

The BTRM Working Paper Series serves to highlight recent developments in the fields of banking, financial markets, economics and econometrics. Articles are subject to review by the BTRM Faculty prior to publication. We welcome submissions that are previously unpublished, we are also happy to reproduce with permission articles published previously in trade magazines or academic journals. Articles should be between 1500 and 3500 words in length (excluding Appendices and Bibliography) and submitted as a Word document. For further information please get in touch with the BTRM Faculty.

BTRM Working Paper Series, #11
Primer: Accessible guide on estimation of the Nelson-Siegel yield curve.

by Raphael Franco Chaves, December 2018

Having recently posted about the importance of fitting an accurate term structure, it's great to be able to present this elegant item from Raphael Franco Chaves of John Deere Financial, Iowa, USA. He has written a succinct and easy to implement guide for the Nelson-Siegel yield curve, with an accompanying Excel worksheet and sample output results. Enjoy... 

BTRM Working Paper Series, #10
The untapped benefits of Machine Learning systems in Banking

by Professor Moorad Choudhry, March 2018

Ahead of my more detailed article on this topic in "The European Finance Review" next month, the link below is to a short piece on the same subject that appeared in the Spring 2018 issue of "International Banker", the members' publication of the Worshipful Company of International Bankers.

BTRM Working Paper Series, #9
Hedge Fund Returns Replication

by Jaafar Husain – Quant Analyst, Bank ABC, October 2017 

In this article we will introduce an effective statistical approach to replicate hedge fund returns. The approach is based on a carefully designed stepwise regression procedure. The objectives of the regression procedure are to 1) identify the strategies and markets to which a hedge fund manager is exposed, and 2) to analyze the progression of these exposures over time. While a hedge fund manager will continually change their overall exposure to exploit market anomalies, we wouldn’t expect a manager who for many years traded in the long/short equity space to suddenly switch to the stressed equity space. The regression procedure is designed to capture such strategy drifts.

BTRM Working Paper Series, #8
The Many Faces of Short Volatility Trades – TARF vs. Hedge Funds 

by Jaafar Husain – Quant Analyst, Bank ABC, February 2017 

In this article we will touch upon a very important concept known as “short volatility strategy” and bring some insight into the intricate relationships that exist among seemingly different asset classes.