Skip to main content

Research Repository

Advanced Search

All Outputs (3)

Bankruptcy prediction with financial systemic risk (2019)
Journal Article
Jia, Z., Shi, Y., Yan, C., & Duygun, M. (2020). Bankruptcy prediction with financial systemic risk. European Journal of Finance, 26(7-8), 666-690. https://doi.org/10.1080/1351847X.2019.1656095

Financial systemic risk-defined as the risk of collapse of an entire financial system vis-à-vis any one individual financial institution-is making inroads into academic research in the aftermath of the late 2000s Global Financial Crisis. We shed ligh... Read More about Bankruptcy prediction with financial systemic risk.

Modeling Price Volatility based on a Genetic Programming Approach (2019)
Journal Article
Ding, S., Zhang, Y., & Duygun, M. (2019). Modeling Price Volatility based on a Genetic Programming Approach. British Journal of Management, 30(2), 328-340. https://doi.org/10.1111/1467-8551.12359

Business profitability is highly dependent on risk management strategies to hedge future cash flow uncertainty. Commodity price shocks and fluctuations are key risks for companies with global supply chains. The purpose of this paper is to show how Ar... Read More about Modeling Price Volatility based on a Genetic Programming Approach.

Derivatives pricing with liquidity risk (2019)
Journal Article
Zhang, Y., Ding, S., & Duygun, M. (2019). Derivatives pricing with liquidity risk. Journal of Futures Markets, 39(11), 1471-1485. https://doi.org/10.1002/fut.22008

This paper develops a novel, general derivative pricing model which introduces a liquidity risk factor. The model variants we outline offer a sufficient degree of flexibility so as to enable the valuation of various types of derivative classes includ... Read More about Derivatives pricing with liquidity risk.